Disclosure Statement Supplement to the Disclosure Statement dated December 19, 2011 — No. 68

Goldman Sachs Bank USA $2,465,000

Equity Index-Linked Certificates of Deposit due 2019 (Linked to an Equally Weighted Basket of Indices)

The CDs do not bear interest. The CDs have a term of approximately seven years. On the stated maturity date (September 30, 2019), for each $1,000 face amount of your CDs, you will be paid an amount in cash equal to $1,000 plus the supplemental amount. Subject to the minimum return set forth below, the supplemental amount will be based on the performance of an equally weighted basket comprised of the EURO STOXX 50® Index, the MSCI Taiwan Index, the S&P/TSX 60 Index and the Dow Jones Industrial AverageSM. The performance of the basket will be measured during the period from the trade date (September 25, 2012) to and including each of the quarterly averaging dates of March 25, June 25, September 25 and December 25, commencing on December 25, 2012. Thus, you will not benefit from any appreciation in the levels of the basket indices from one averaging date to the next, except to the extent there is also appreciation in those levels from the initial index levels. The determination date will be the last averaging date.

To determine your payment at maturity, we will calculate the percentage increase or decrease from the initial basket level to the final basket level (which we call the basket return). The initial basket level is 100 and the final basket level will equal the arithmetic average of the basket closing levels on each of the averaging dates. The basket closing level on each averaging date will equal the sum of the amounts calculated, in respect of each basket index, equal to: (i) the closing index level divided by (ii) the initial index level multiplied by (iii) the initial weighted value of 25. On the stated maturity date, for each $1,000 face amount of your CDs you will receive an amount in cash equal to $1,000 plus a supplemental amount of the greater of:

• the product of $1,000 times the basket return and

• the product of $1,000 times the minimum return of 2.1%. A large decline in the closing level of a basket index may offset any increases that occurred in such index on

prior averaging dates. Declines in one basket index may offset increases in other basket indices. You may receive only the minimum supplemental amount on your notes in addition to the face amount.

The foregoing is only a brief summary of the terms of your CDs. You should read additional disclosure regarding the terms of the CDs, risk factors and basket indices incorporated herein so that you may better understand your investment.

The estimated value of your CDs at the time the terms of your CDs were set on the trade date (as determined by reference to pricing models used by Goldman, Sachs & Co. and taking into account our credit spreads) was equal to approximately $939 per $1,000 face amount, which is less than the original issue price. The value of your CDs at any time will reflect many factors and cannot be predicted; however, the price (not including GS&Co.’s customary bid and ask spreads) at which GS&Co. would initially buy or sell CDs (if it makes a market, which it is not obligated to do) and the value that GS&Co. will initially use for account statements and otherwise equals approximately $965 per $1,000 face amount, which exceeds the estimated value of your CDs as determined by reference to these models. The amount of the excess will decline on a straight line basis over the period from the trade date through March 15, 2013. Original issue date: September 28, 2012 Original issue price: 100% of the face amount

Placement fee: 3.50% of the face amount Net proceeds to the issuer: 96.50% of the face amount

The CDs evidence deposit liabilities of Goldman Sachs Bank USA and are not obligations of or guaranteed by The Goldman Sachs Group, Inc. or any other entity. The CDs are covered, with respect to the face amount only, by federal deposit insurance, up to a maximum limit of $250,000 per depositor or $250,000 per participant in the case of certain retirement accounts. These maximum limits are the total federal deposit insurance protection available for your CDs, together with any other deposit accounts you may hold at Goldman Sachs Bank USA in the same right and capacity. In addition, the Federal Deposit Insurance Corporation has taken the position that the supplemental amount is not insured by the FDIC until it has been finally determined and accrued on the determination date. FDIC insurance is subject to further important limitations set forth on the next page. The CDs have not been nor will they be registered under the Securities Act of 1933, and are not required to be so registered.

Goldman Sachs Bank USA may use this disclosure statement supplement in the initial sale of the CDs. In addition, Goldman, Sachs & Co. or any other affiliate of Goldman Sachs Bank USA may use this disclosure statement supplement in a market-making transaction in a CD after its initial sale. If the CDs are purchased from Goldman, Sachs & Co. or any other affiliate of Goldman Sachs Bank USA, this disclosure statement supplement is being used in a market-making transaction, unless the purchaser is informed otherwise in the confirmation of sale.

We may decide to sell additional CDs after the trade date, at issue prices and with placement fees and net proceeds that differ from the amounts set forth above.

Disclosure Statement Supplement dated September 25, 2012.

FDIC insurance may not cover the CDs if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage. Further, if Goldman Sachs Bank USA’s status as an insured depository institution is terminated or suspended by the FDIC (including as a result of our actions) or is terminated by us, during the period of temporary insurance following the termination or suspension the FDIC insurance may not cover any amounts in excess of the face amount of the CDs. Also, FDIC insurance does not cover any losses attributable to the sale of your CDs prior to maturity and any secondary market premium paid by you above the face amount of the CDs is not insured by the FDIC. Thus, the amount of any CD that will be insured by the FDIC may be less than the full amount that would otherwise be payable on the CD at maturity. For more information about some of the limits of FDIC insurance that apply to the CDs and the ranking of the CDs relative to other obligations of Goldman Sachs Bank USA, see “Status of Certificates of Deposit” on page 5 of the accompanying disclosure statement and “Additional Risk Factors Specific to Your Certificates of Deposit” on page S-10 of this disclosure statement supplement.

The CDs have not been nor will they be registered under the Securities Act of 1933. Neither the Securities and

Exchange Commission nor any other regulatory body has approved or disapproved of the CDs or passed upon the accuracy or adequacy of this disclosure statement supplement or the accompanying disclosure statement, which have not been filed with the SEC. Any representation to the contrary is a criminal offense.

See the accompanying disclosure statement available at http://www2.goldmansachs.com/disclaimer/gsbankusa/gs-bank-usa-disclosure-statement-december-19-2011.pdf

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SUMMARY INFORMATION

We refer to the certificates of deposit we are offering by this disclosure statement supplement as the “offered CDs” or the “CDs”. Each of the offered CDs, including your CDs, has the terms described below. Please note that in this disclosure statement supplement, references to “Goldman Sachs Bank USA”, “we”, “our” and “us” refer only to Goldman Sachs Bank USA.

You should read this disclosure statement supplement together with the disclosure statement dated December 19, 2011, of Goldman Sachs Bank USA, which we refer to herein as the “accompanying disclosure statement”. The accompanying disclosure statement is available at http://www2.goldmansachs.com/disclaimer/gsbankusa/gs-bank-usa-disclosure-statement-december-19-2011.pdf or may be obtained from us or your broker.

Key Terms

Issuer: Goldman Sachs Bank USA

Basket and basket indices:

Basket Index Bloomberg

Ticker Weighting Percentage

(%) EURO STOXX 50® Index SX5E 25 MSCI Taiwan TAMSCI 25 S&P/TSX 60 SPTSX60 25 Dow Jones Industrial AverageSM INDU 25

Face amount: $2,465,000 in the aggregate for all the offered CDs, issued in minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof

Payment amount: on the stated maturity date, we will pay you, for each $1,000 face amount of your CDs, an amount in cash equal to the sum of $1,000 plus the supplemental amount

Supplemental amount: for each $1,000 face amount of your CDs, the greater of:

• the product of $1,000 times the basket return; and

• the product of $1,000 times the minimum return

Initial index level: with respect to each basket index, the closing level of such basket index on the trade date, as set forth in the table below

Closing index level: with respect to each basket index, the closing level of such basket index on each of the averaging dates, except in the limited circumstances described under “Specific Terms of Your Certificates of Deposit — Payment on Stated Maturity Date — Consequences of a Market Disruption Event or a Non-Trading Day” on page S-20 and subject to adjustment as provided under “Specific Terms of Your Certificates of Deposit — Discontinuance or Modification of a Basket Index” on page S-21

Closing level: as described under “Specific Terms of Your Certificates of Deposit — Special Calculation Provisions — Closing Level” on page S-23

Initial basket level: 100

Initial weighted value: with respect to each basket index, the product of (i) the weighting percentage of such basket index times (ii) the initial basket level

Final basket level: the arithmetic average (as determined by the calculation agent) of the basket closing levels on each of the averaging dates

Basket closing level: the sum of the amounts calculated, in respect of each basket index equal to: (i) the closing index level for such basket index divided by (ii) the initial index level for such basket index multiplied by (iii) the initial weighted value for such basket index, except in the limited circumstances described under

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“Specific Terms of Your Certificates of Deposit — Payment on Stated Maturity Date — Consequences of a Market Disruption Event or a Non-Trading Day” on page S-20 and subject to adjustment as provided under “Specific Terms of Your Certificates of Deposit — Discontinuance or Modification of a Basket Index” on page S-21

Basket return: the quotient of (i) the final basket level minus the initial basket level divided by (ii) the initial basket level, expressed as a percentage

Minimum return: 2.1% (corresponding to an annual percentage yield of 0.30%)

Trade date: September 25, 2012

Original issue date (settlement date): September 28, 2012

Stated maturity date: September 30, 2019, subject to adjustment as described under “Specific Terms of Your Certificates of Deposit — Payment on Stated Maturity Date — Stated Maturity Date” on page S-20

Averaging dates: each March 25, June 25, September 25 and December 25, commencing on December 25, 2012, in each case subject to adjustment as described under “Specific Terms of Your Certificates of Deposit — Payment on Stated Maturity Date — Averaging Dates” on page S-20

Determination date: the last averaging date, September 25, 2019, subject to adjustment as described under “Specific Terms of Your Certificates of Deposit — Payment on Stated Maturity Date — Averaging Dates” on page S-20

Mandatory redemption: if our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions, or if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage, to the extent permitted by law and regulation we will redeem your CDs then outstanding on the applicable mandatory redemption date, unless they mature prior to such date, as described under “Specific Terms of Your Certificates of Deposit — Mandatory Redemption” on page S-21; your CDs are not otherwise subject to redemption at our option

Mandatory redemption date: as described under “Specific Terms of Your Certificates of Deposit — Mandatory Redemption” on page S-21

Mandatory redemption amount: as described under “Specific Terms of Your Certificates of Deposit — Special Calculation Provisions — Mandatory Redemption Amount” on page S-23

Optional redemption in the event of death or adjudication of incompetence: as described under “Specific Terms of Your Certificates of Deposit — Optional Redemption in the Event of Death or Adjudication of Incompetence” on page S-22; your CDs are not otherwise subject to repayment at your option. If you sell your CDs in a secondary market transaction prior to maturity, you may receive significantly less than the face amount, as described under “Q&A — What Will I Receive If I Sell the CDs Prior to the Stated Maturity Date?” below

Calculation agent: Goldman, Sachs & Co.

Business day: as described under “Specific Terms of Your Certificates of Deposit — Special Calculation Provisions — Business Day” on page S-22

Trading day: as described under “Specific Terms of Your Certificates of Deposit — Special Calculation Provisions — Trading Day” on page S-22

No interest: the offered CDs do not bear interest

No listing: the offered CDs will not be listed on any securities exchange or interdealer market quotation system

CUSIP no.: 38143AB38

ISIN: US 38143AB382

Legal ownership and payment: the CDs will be issued in master certificate form and payment will be made in accordance with the applicable procedures of the depositary, as discussed under “Legal Ownership and Payment” on page 38 of the accompanying disclosure statement

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ERISA: as described under “Employee Retirement Income Security Act” on page 55 of the accompanying disclosure statement

Annual percentage yield (APY): a percentage rate reflecting the annualized minimum return, calculated in accordance with Regulation DD of the Consumer Financial Protection Bureau, 12 C.F.R. Part 1030. The initial index level and weighting percentage of each basket index is set forth in the table below:

Basket Index Initial index level

Weighting Percentage

(%)

Initial Weighted

Value EURO STOXX 50® Index 2,568.48 25 25 MSCI Taiwan 274.88 25 25 S&P/TSX 60 700.42 25 25 Dow Jones Industrial AverageSM

13,457.55 25 25

Ratings

On June 21, 2012, Moody’s Investors Service downgraded Goldman Sachs Bank USA’s long-term deposit rating two notches from Aa3 to A2; outlook stable. Goldman Sachs Bank USA’s short-term bank deposit rating of P-1 was affirmed.

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Q&A

How do the CDs Work?

On the stated maturity date, we will pay you for each $1,000 face amount of your CDs, an amount in cash equal to the sum of $1,000 plus the supplemental amount. Subject to the minimum return set forth below, the supplemental amount will be based on the performance of an equally weighted basket comprised of the EURO STOXX 50® Index, the MSCI Taiwan Index, the S&P/TSX 60 Index and the Dow Jones Industrial AverageSM, as measured from the trade date to each of the averaging dates (each March 25, June 25, September 25 and December 25, commencing on December 25, 2012, in each case subject to adjustment). The determination date will be the last averaging date, September 25, 2019, subject to adjustment. While the averaging dates occur quarterly during the life of the CDs, the basket indices may be subject to significant fluctuation between the averaging dates over the seven-year period. You will not benefit from any appreciation in the levels of the basket indices from one averaging date to the next, except to the extent there is also appreciation in those levels from the initial index levels, and the payment amount for your CDs may be significantly lower than an instrument that pays a supplemental amount based on the changes in index levels between averaging dates or based on changes in the index levels from the trade date to the determination date.

To determine your payment at maturity, we will first calculate the percentage increase or decrease in the level of the basket, which we refer to as the basket return. The basket return will be determined as follows: first, we will subtract the initial basket level of 100 from the final basket level. Then we will divide the result by the initial basket level of 100, and express the resulting fraction as a percentage. The final basket level will equal the arithmetic average of the basket closing levels on each of the averaging dates. The basket closing level on each averaging date will equal the sum of the amounts calculated, with respect to each basket index, equal to: (i) the closing index level, which is the closing level of such basket index on such averaging date, divided by (ii) the initial index level for such basket index, multiplied by (iii) the initial weighted value of 25, in each case subject to adjustment.

On the stated maturity date, for each $1,000 face amount of your CDs you will receive $1,000 plus the supplemental amount equal to the greater of:

• the product of $1,000 times the basket return; and

• the product of $1,000 times the minimum return of 2.1% (corresponding to an annual percentage yield of 0.30%).

As noted above, because the supplemental amount is based on the performance of the basket indices as measured on each quarterly averaging date, even if the closing levels of some or all of the basket indices on the determination date exceed the respective initial index levels, you may not fully benefit from such increases in the levels of the basket indices.

Unlike conventional CDs, which may compound interest when they bear a simple interest rate, there is no compounding of any kind during the term of the CDs.

Are the CDs Insured by the Federal Deposit Insurance Corporation (“FDIC”) and How Will the CDs Rank Against Other Obligations of Goldman Sachs Bank USA?

The CDs evidence deposit liabilities of Goldman Sachs Bank USA, which are covered by FDIC insurance, up to the maximum limits set by the Federal Deposit Insurance Act and the corresponding regulations and interpretations of the FDIC. In general, deposits are subject to a maximum FDIC insurance limit of $250,000 per depositor, or $250,000 per participant in the case of certain retirement accounts. These maximum limits are the total federal deposit insurance protection available for funds in your CDs, together with any other deposit accounts you may hold at Goldman Sachs Bank USA in the same right and capacity. In addition, the FDIC has taken the position that the supplemental amount is not insured by the FDIC until it is finally determined and accrued on the determination date. Also, FDIC insurance may not cover the CDs if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage. Further, if Goldman Sachs Bank USA’s status as an insured depository institution is terminated or

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suspended by the FDIC (including as a result of our actions) or is terminated by us, during the period of temporary insurance following the termination or suspension the FDIC insurance may not cover any amounts in excess of the face amount of the CDs. In addition, the FDIC has taken the position that any secondary market premium paid by you above the face amount of the CDs is not insured by the FDIC. In the event of a liquidation or other resolution of Goldman Sachs Bank USA, the claims of holders of the CDs, although subordinated in rights to the claims of a receiver of Goldman Sachs Bank USA for administrative expenses, are entitled to priority over the claims of general unsecured non-depositor creditors of Goldman Sachs Bank USA. In addition, the CDs will rank pari passu with all other deposit liabilities of Goldman Sachs Bank USA, except deposits which are required by law to be secured and subject to any statutory preference.

However, the ultimate determination of the insurability and priority of the CDs would be made by the FDIC in response to claims of depositors. In addition, the availability of FDIC insurance to an owner of a beneficial interest in a CD represented by a master certificate may be dependent upon, among other things, whether such interest and any intermediary interests are accurately and adequately disclosed on the records of the depositary, participants and persons that hold interests through participants. Accordingly, no assurance can be given as to the availability of FDIC insurance to owners of a beneficial interest in CDs represented by a master certificate.

For more information, see “Status of Certificates of Deposit” on page 5 of the accompanying disclosure statement and “Additional Risk Factors Specific to Your Certificates of Deposit” on page S-11.

Who Should or Should Not Consider an Investment in the CDs?

The CDs are intended for investors who desire exposure to the quarterly average performance of the EURO STOXX 50® Index, the MSCI Taiwan Index, the S&P/TSX 60 Index and the Dow Jones Industrial AverageSM and who are seeking FDIC-insured, instruments. In order to evaluate whether to invest in the CDs, you should carefully consider and understand the features of the CDs and how they would perform in various situations. The CDs have a different payout structure from, and do not bear periodic interest or compound interest as is common in, more traditional certificates of deposit. The CDs would be appropriate for investors who believe that the performance of an equally weighted basket of equity indices as measured from the trade date to a series of quarterly averaging dates would exceed the coupons on a traditional CD bearing periodic interest of equivalent maturity and are willing to forgo any return on their investment if that is not the case. Because the performance of the CDs is based on the percentage changes in the levels of the basket indices from the initial levels as measured on each quarterly averaging date, your CDs will not perform in the same manner as an investment that is linked to the performance of the basket indices from the trade date to the determination date.

The overall return on your investment in the CDs may be less than you would have earned by investing in a non-indexed bank deposit or debt security that bears interest at a prevailing market rate. Therefore, the CDs may not be a suitable investment for you if you prefer the lower risk of fixed income investments with comparable maturities issued by financial institutions with comparable credit that pay interest payments at prevailing market rates.

What Will I Receive If I Sell the CDs Prior to the Stated Maturity Date?

If you sell your CDs prior to the stated maturity date, you will receive the market price for your CDs. The market price for your CDs may be influenced by many factors, such as the levels of the basket indices, the volatility of the basket indices, interest rates, the time remaining until maturity and dealer discount. You may also be charged a commission in connection with a secondary market transaction. Depending on the impact of these factors, you may receive significantly less than the face amount of your CDs in any sale of your CDs before the stated maturity date. As a result, you should not purchase the CDs unless you plan to hold them to maturity.

Who Publishes the Basket Indices and What Do They Measure?

The EURO STOXX 50® Index is a capitalization-weighted index of 50 European blue-chip stocks and was created by STOXX Limited. The EURO STOXX 50® Index is published in The Wall Street Journal. The level

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of the EURO STOXX 50® Index is disseminated on, and additional information about the EURO STOXX 50® Index is published on, the STOXX Limited website: http://www.stoxx.com. The MSCI Taiwan Index is an emerging market index that is designed to measure the market performance of equity securities in Taiwan. The MSCI Taiwan Index is calculated and published by MSCI Inc. Additional information is available on the following website: http://www.msci.com/eqb/custom_indices/tw_performance.html. The S&P/TSX 60 Index is a subset of the S&P/TSX Composite Index. The S&P/TSX 60 Index has 60 constituents and represents Canadian large cap securities with a view to matching the sector balance of the S&P/TSX Composite Index. The S&P/TSX 60 Index and the S&P/TSX Composite Index are maintained by the S&P Canadian Index Committee, which is comprised of four members representing S&P Indices and three members representing the Toronto Stock Exchange. Additional information is available on the following website: http://www.standardandpoors.com. The Dow Jones Industrial Average SM is a price-weighted index composed of 30 common stocks selected at the discretion of an Averages Committee comprised of the Managing Editor of The Wall Street Journal (the “WSJ”), the head of Dow Jones Indexes research and the head of CME Group research. Additional information is available on the following website: http://www.djaverages.com/.

We are not incorporating by reference the websites referred to above or any material they include in this disclosure statement supplement. The EURO STOXX 50® Index, the MSCI Taiwan Index, the S&P/TSX 60 Index and the Dow Jones Industrial AverageSM are determined, comprised and calculated without regard to the offered CDs.

For further information, please see “The Basket Indices” on page S-33.

What About Taxes?

Some of the U.S. federal income tax consequences of an investment in your CDs are summarized below, but we urge you to read the more detailed discussion in “Supplemental Discussion of United States Federal Income Tax Consequences” on page S-53. The CDs will be treated as debt instruments subject to special rules governing contingent payment debt instruments for U.S. federal income tax purposes. If you are a U.S. individual or a taxable entity, you generally will be required to pay taxes on ordinary income from the CDs over their term based on the comparable yield for the CDs, even though you will not receive any payments from us until maturity. This comparable yield is determined solely to calculate the amount on which you will be taxed prior to maturity and is neither a prediction nor a guarantee of what the actual yield will be. In addition, any gain you may recognize on the sale or maturity of the CDs will generally be taxed as ordinary interest income. If you are a secondary purchaser of the CDs or if you purchase the CDs for an amount that is different from the adjusted issue price of the CDs (as defined under “United States Taxation — United States Holders — Indexed and Other Certificates of Deposit” in the accompanying disclosure statement), the tax consequences to you may be different.

For further discussion, see “Supplemental Discussion of United States Federal Income Tax Consequences” below for a more detailed discussion. Please also consult your own tax advisor concerning the U.S. federal income tax and any other applicable tax consequences to you of owning your CDs in your particular circumstances.

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TRUTH IN SAVINGS DISCLOSURES

For the Initial Issuance and Sale of the Certificates of Deposit

Minimum Balance to Acquire a CD

Each CD is issued in a minimum denomination of $1,000 and integral multiples of $1,000 in excess thereof. If you acquire the CDs as part of the initial offering of CDs or directly from Goldman Sachs Bank USA, you will be required to pay 100% of the face amount of such CDs. If you acquire the CDs on the secondary market through a third party (including without limitation through Goldman, Sachs & Co.), you may be required to pay a secondary market premium in addition to 100% of the face amount of the CDs, plus any applicable service charges imposed by the third party.

Maturity Date

The CDs are scheduled to mature on September 30, 2019 (the “stated maturity date”), subject to adjustment if such day is not a business day or the determination date is postponed, as described under “Specific Terms of Your Certificates of Deposit — Payment on Stated Maturity Date — Stated Maturity Date” and “— Averaging Dates” on page S-20 and “Specific Terms of Your Certificates of Deposit — Special Calculation Provisions — Business Day” on page S-22.

No Renewal and No Interest

The CDs will not renew on the stated maturity date. No interest will be paid on the CDs, whether before or after the stated maturity date. Unless we redeem your CDs as described under “— Mandatory Redemption” or under “— Optional Redemption in the Event of Death or Adjudication of Incompetence” below, the amount we will pay on the stated maturity date for your CDs is an amount in cash equal to the face amount of the CDs plus the supplemental amount as described in more detail in this disclosure statement supplement. Payment will be made to the holders of the CDs in accordance with the applicable procedures of the depositary. See also “Legal Ownership and Payment” on page 38 of the accompanying disclosure statement.

Supplemental Amount

You will be entitled to receive a supplemental amount in addition to the face amount of your CDs on the stated maturity date, as described in this disclosure statement supplement.

Please see “Summary Information — Key Terms” on page S-3 for important information about how the supplemental amount payable on the stated maturity date (in addition to the face amount of the CDs) will be determined, including information about the initial index levels, the closing index levels, the averaging dates, the basket closing levels, the final basket level and the basket return. Please also see “Specific Terms of Your Certificates of Deposit — Payment on Stated Maturity Date — Supplemental Amount” on page S-19 and “— Averaging Dates” on page S-20, respectively for more information regarding the payment amount and the averaging dates.

No supplemental amount will be paid if there is a mandatory redemption or any early redemption due to death or adjudication of incompetence. See “— Mandatory Redemption” and “— Optional Redemption in the Event of Death or Adjudication of Incompetence” below.

Mandatory Redemption

If our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions or if regulatory or statutory changes in the future render the CDs ineligible for FDIC insurance, to the extent permitted by applicable law and regulation, we will redeem your CDs then outstanding on the applicable mandatory redemption date as described under “Specific Terms of Your Certificates of Deposit — Mandatory Redemption” on page S-21. This commitment to redeem your CDs may not be enforceable under certain circumstances, such as if the FDIC has been appointed receiver or conservator of the bank. The mandatory redemption amount for your CDs then outstanding on the applicable mandatory redemption date will not be less than the face amount of your CDs then outstanding. However, there will be no mandatory redemption if the mandatory redemption date occurs on or after the stated maturity date. The mandatory redemption amount for your CDs then outstanding on the applicable mandatory redemption date

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will be determined as described under “Specific Terms of Your Certificates of Deposit — Special Calculation Provisions — Mandatory Redemption Amount” on page S-23, but in any event will not be less than the face amount of your CDs then outstanding.

Optional Redemption in the Event of Death or Adjudication of Incompetence

In the event of your death or adjudication of incompetence, your authorized representative will have the option to redeem your CDs before (not on or after) the stated maturity date as described under “Description of Certificates of Deposit We May Offer — Redemption — Redemption Upon Death or Adjudication of Incompetence” in the accompanying disclosure statement. If your authorized representative chooses to redeem your CDs, on the redemption date, your authorized representative will receive only the face amount of your CDs. No supplemental amount will be paid in connection with any such early redemption.

Depending on market conditions, the value of the CDs in the secondary market may be greater than the amount your authorized representative would receive on the date of such early redemption. Accordingly, your authorized representative should contact your broker to determine the secondary market price of the CDs, and the amount of fees or commissions that would be payable in a secondary market transaction, and should carefully consider whether to sell the CDs to your broker or another market participant rather than redeem the CDs pursuant to a request for redemption.

Transaction Limitations

You cannot change (increase or decrease) the face amount of a CD. If you want to increase the total amount of CDs you own, you must acquire new CDs. There is no assurance that we will sell any additional CDs subsequent to the date of this disclosure statement supplement.

You may not withdraw or redeem any portion of the face amount of your CDs before the stated maturity date. Unless the CDs are mandatorily redeemed by us as described under “— Mandatory Redemption” above or the CDs are redeemed by your authorized representative in the event of your death or adjudication of incompetence as described under “— Optional Redemption in the Event of Death or Adjudication of Incompetence” above, Goldman Sachs Bank USA is not required (and does not intend) to make any payment on the CDs before the stated maturity date. Except as specifically described in the preceding sentence, the CDs will not be subject to redemption at our option or repayment at your option before the stated maturity date.

Selling the CDs Before the Stated Maturity Date

If you want to receive funds before the stated maturity date for CDs that you have acquired, you may be required to sell the CDs in the secondary market, if any exists. Goldman Sachs Bank USA is not required (and does not intend) to repurchase any CD before the stated maturity date, and is not required to assist you in finding a third party willing to purchase the CDs from you before the stated maturity date. If you sell your CDs before the stated maturity date, you will receive the market price at that time for the CDs. The market price for your CDs could be significantly less than the face amount of the CDs, and could be significantly less than what you paid to acquire your CDs. Furthermore, if you sell your CDs, you will likely be charged a commission for secondary market transactions, or the price will likely reflect a dealer discount.

Additional Information

Please see the other sections of this disclosure statement supplement and the accompanying disclosure statement for important additional information about the CDs.

For more information relating to these truth in savings disclosures, please contact Goldman Sachs Bank USA at 1-800-323-5678.

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ADDITIONAL RISK FACTORS SPECIFIC TO YOUR CERTIFICATES OF DEPOSIT

An investment in your CDs is subject to the risks described below, as well as the risks described under “Risk Factors” in the accompanying disclosure statement dated December 19, 2011. Your CDs are a riskier investment than many other bank deposit obligations. Also, your CDs are not equivalent to investing directly in the index stocks, i.e., the stocks comprising the basket indices to which your CDs are linked. You should carefully consider whether the offered CDs are suited to your particular circumstances.

The Estimated Value of Your CDs At the Time the Terms of Your CDs Were Set On the Trade Date (as Determined By Reference to Pricing Models Used By Goldman, Sachs & Co.) Was Less Than

the Original Issue Price Of Your CDs

The original issue price for your CDs exceeds the estimated value of your CDs as of the time the terms of your CDs were set on the trade date, as determined by reference to Goldman, Sachs & Co.’s pricing models and taking into account our credit spreads. Such estimated value on the trade date is set forth on the cover of this disclosure statement supplement; after the trade date, the estimated value as determined by reference to these models will be affected by changes in market conditions, our creditworthiness and other relevant factors. The price at which Goldman, Sachs & Co. would initially buy or sell your CDs (if Goldman, Sachs & Co. makes a market, which it is not obligated to do), and the value that Goldman, Sachs & Co. will initially use for account statements and otherwise, also exceeds the estimated value of your CDs as determined by reference to these models. The amount of the excess will initially equal the amount on the cover of this disclosure statement, which will decline on a straight line basis over the period from the date hereof through the applicable date set forth on the cover. Thereafter, if Goldman, Sachs & Co. buys or sells your CDs it will do so at prices that reflect the estimated value determined by reference to such pricing models at that time. The price at which Goldman, Sachs & Co. will buy or sell your CDs at any time also will reflect its customary bid and ask spread for similar sized trades of structured CDs.

In estimating the value of your CDs as of the time the terms of your CDs were set on the trade date, as disclosed on the front cover of this disclosure statement supplement, Goldman, Sachs & Co.’s pricing models consider certain variables, including principally our credit spreads, interest rates (forecasted, current and historical rates), volatility, price-sensitivity analysis and the time to maturity of the CDs. These pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. As a result, the actual value you would receive if you sold your CDs in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of your CDs determined by reference to our models due to, among other things, any differences in pricing models or assumptions used by others. See “— The Market Value of Your CDs May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways” below.

The difference between the estimated value of your CDs as of the time the terms of your CDs were set on the trade date and the original issue price is a result of certain factors, including principally the placement fee and commissions, the expenses incurred in creating, documenting and marketing the CDs, and an estimate of the difference between the amounts we pay to Goldman, Sachs & Co. and the amounts Goldman, Sachs & Co. pays to us in connection with your CDs. We pay to Goldman, Sachs & Co. amounts based on what we would pay to holders of a non-structured note with a similar maturity. In return for such payment, Goldman, Sachs & Co. pays to us the amounts we owe under your CDs.

In addition to the factors discussed above, the value and quoted price of your CDs at any time will reflect many factors and cannot be predicted. If Goldman, Sachs & Co. makes a market in the CDs, the price quoted by Goldman, Sachs & Co. would reflect any changes in market conditions and other relevant factors, including any deterioration in our creditworthiness or perceived creditworthiness. These changes may adversely affect the value of your CDs, including the price you may receive for your CDs in any market making transaction. To the extent that Goldman, Sachs & Co. makes a market in the CDs, the quoted price will reflect the estimated value determined by reference to Goldman, Sachs & Co.’s pricing models at that time, plus or minus its customary bid and ask spread for similar sized trades of structured CDs (and subject to the declining excess amount described above).

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Furthermore, if you sell your CDs, you will likely be charged a commission for secondary market transactions, or the price will likely reflect a dealer discount. This commission or discount will further reduce the proceeds you would receive for your CDs in a secondary market sale.

In addition, in the event that Goldman, Sachs & Co. or any other affiliate of ours purchases your CDs in the secondary market within six days after the date of initial issuance of those CDs, downward adjustments will be made to the purchase price to be paid to you to account for early withdrawal penalties we are required to impose pursuant to Regulation D of the Federal Reserve Board. Thus, if you sell your CDs to Goldman, Sachs & Co. or any of our affiliates within six days after you purchase and pay for them, you are likely to receive a reduced price for your CDs.

There is no assurance that Goldman, Sachs & Co. or any other party will be willing to purchase your CDs at any price and, in this regard, Goldman, Sachs & Co. is not obligated to make a market in the CDs. See “— Your CDs May Not Have an Active Trading Market” below.

The CDs Differ from Conventional Bank Deposits

The CDs combine features of equity and debt. The terms of the CDs differ from those of conventional CDs and other non-indexed bank deposits in that the supplemental amount is based on the performance of an equally weighted basket of basket indices. Therefore, the return on your investment in the CDs may be less than the amount that would be paid on a conventional CD or other bank deposit. The return at maturity of only $1,000 plus the supplemental amount may not compensate you for any loss in value due to inflation and other factors relating to the value of money over time. In addition, the supplemental amount will be calculated only on the determination date. Unlike conventional CDs, which may compound interest when they bear a simple interest rate, there is no effect on the principal amount of the CDs, nor is there any compounding of any kind, during the term of the CDs. Thus, you should not expect any positive performance in any of the basket indices during the term of the CDs to have an effect on the principal amount of your CDs. Similarly, any positive basket index return indices during the term of your CDs does not ensure that you will receive a payment amount greater than the face amount because, as described below under “— A Decrease in the Level of a Basket Index on One Averaging Date May Offset Increases in the Level of such Basket Index on Other Averaging Dates,” for each basket index, a lower closing index level on one averaging date may offset higher closing index levels on other averaging dates.

Your CDs Do Not Bear Interest

You will not receive any interest payments on your CDs. As a result, even if the amount payable for each of your CDs on the stated maturity date exceeds the face amount of your CDs, the overall return you earn on your CDs may be less than you would have earned by investing in a non-indexed debt security of comparable maturity that bears interest at a prevailing market rate.

A Decrease in the Level of a Basket Index on One Averaging Date May Offset Increases in the Level of such Basket Index on Other Averaging Dates

The supplemental amount that you receive on the stated maturity date is based on the performance of the basket indices on each of the averaging dates. The decreases and increases in the level of each basket index from the initial index level to the closing index level on each averaging date will be averaged to determine the basket return and the supplemental amount. Thus, even if the level of a basket index increases over several averaging dates, a large decline in the level of such basket index on or prior to one averaging date may offset any increases that occurred on other averaging dates and will reduce the payment amount you receive on the stated maturity date, possibly to the face amount of your CDs.

The Supplemental Amount on Your CDs Is Linked to the Closing Levels of the Basket Indices on Quarterly Averaging Dates

The basket return will be based on the arithmetic average of the closing levels of the basket indices on each of the quarterly averaging dates (each of which is subject to postponement in case of market disruption events or non-trading days), and therefore not the simple performance of the basket indices over the life of your CDs. For example, even if the closing level of a basket index dramatically surged on the last averaging date (in other words, the determination date), that surge is only with respect to one averaging

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date and may be offset by declines in the closing levels of such basket index on other averaging dates. As a result, the payment amount for your CDs may be significantly less than it would have been had the payment amount been linked only to the closing levels of the basket indices on the determination date.

The Averaging Dates Occur Quarterly During the Life of the CDs

The supplemental amount that will be paid on your CDs will not be affected by the closing levels of the basket indices on any dates other than on each of the averaging dates. See “—The Supplemental Amount on Your CDs Is Linked to the Closing Levels of the Basket Indices on the Quarterly Averaging Dates” above. While the averaging dates occur quarterly during the life of the CDs, the basket indices may be subject to significant fluctuation between the averaging dates over the seven-year period. Therefore, there is a possibility that any given averaging date may fall on a date where the closing levels of the basket indices are significantly lower than at other times during such applicable three-month period. Thus, you will not benefit from any appreciation in the levels of the basket indices from one averaging date to the next, except to the extent there is also appreciation in those levels from the initial index levels, and the payment amount for your CDs may be significantly lower than it would have been if the averaging dates occurred on consecutive days or on different dates.

The Lower Performance of One Basket Index May Offset an Increase in the Other Indices in the Basket

The basket is comprised of four equity indices that are equally weighted. Declines in the level of one basket index may offset increases in the levels of the other indices in the basket. As a result, any return on the basket — and thus on your CDs — may be reduced or eliminated, which will have the effect of reducing the supplemental amount in respect of your CDs at maturity.

The Return on Your CDs Will Not Be Adjusted for Changes in the Foreign Currency Exchange Rate

Your CDs are linked to basket indices whose index stocks are traded in foreign currencies. Although the index stocks are traded in foreign currencies and your CDs will be denominated in U.S. dollars, the amount payable on your CDs at maturity will not be adjusted for changes in the applicable foreign currency/U.S. dollar exchange rates. The amount payable on the stated maturity date will be based solely upon the overall change in the level of the applicable basket indices over the life of your CDs. Changes in foreign currency exchange rates, however, may reflect changes in the economy of the foreign countries in which the basket index’s component stocks are listed that, in turn, may affect the final basket level.

An Investment in the Offered CDs Will Be Subject to Risks Associated with Foreign Securities Markets

You should be aware that investments in securities linked to the value of foreign equity securities involve particular risks. The foreign securities markets whose stocks comprise the basket indices may have less liquidity and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets differently from U.S. or other securities markets. Direct or indirect government intervention to stabilize these foreign securities markets, as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in these markets. Also, there is generally less publicly available information about foreign companies than about those U.S. companies that are subject to the reporting requirements of the U.S. Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.

Securities prices in foreign countries are subject to political, economic, financial and social factors that apply in those geographical regions. These factors, which could negatively affect those securities markets, include the possibility of recent or future changes in a foreign government’s economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity securities and the possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks of hostility and political instability and the possibility of natural disaster or adverse public health development in the region. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in important respects such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.

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Your CDs May Not Have an Active Trading Market Your CDs will not be listed or displayed on any securities exchange or included in any interdealer

market quotation system, and as a result there may be little or no secondary market for your CDs. Even if a secondary market for your CDs develops, it may not provide significant liquidity and we expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices for your CDs in any secondary market could be substantial. You should not purchase our CDs unless you plan to hold them to maturity.

If You Sell Your CDs in a Secondary Market Transaction, You May Experience a Loss

If you sell your CDs prior to the stated maturity date, you will receive the market price for your CDs. The market price for your CDs may be influenced by many factors, such as the volatility and general performance of the basket indices, interest rates, the time remaining until maturity, dealer discount and other factors described below. You may also be charged a commission in connection with a secondary market transaction. Depending on the impact of these factors, you may receive significantly less than the face amount of your CDs in any sale of your CDs before the stated maturity date.

The Market Value of Your CDs May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways

The following factors, among others, many of which are beyond our control, may influence the market value of your CDs:

• the volatility – i.e., the frequency and magnitude of changes – in the levels of the basket indices;

• the level of the basket indices to which your CDs are linked and the initial index levels;

• the dividend rates of the stocks underlying the basket indices;

• economic, financial, regulatory, political, military and other events that affect stock markets generally and the stocks underlying the basket indices, and which may affect the closing index level of the basket indices;

• interest rates and yield rates in the market;

• the time remaining until your CDs mature; and

• our creditworthiness, whether actual or perceived, and including actual or anticipated upgrades or downgrades in our credit ratings or changes in other credit measures.

These factors may influence the market value of your CDs if you sell your CDs before maturity, including the price you may receive for your CDs in any market making transaction. If you sell your CDs prior to maturity, you may receive less than the face amount of your CDs.

You cannot predict the future performance of the basket indices based on their historical performance. The actual performance of the basket indices over the life of the CDs, as well as the amount payable on the stated maturity date, may bear little or no relation to the historical levels of the basket indices or to the hypothetical return examples shown elsewhere in this disclosure statement supplement.

If the Levels of the Basket Indices Change, the Market Value of Your CDs May Not Change in the Same Manner

Your CDs may trade quite differently from the performance of the basket indices. Changes in the levels of the basket indices may not result in a comparable change in the market value of your CDs. We discuss some of the reasons for this disparity under “— The Market Value of Your CDs May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways” above.

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The Return on Your CDs Will Not Reflect Any Dividends Paid on Index Stocks

Each index sponsor calculates the level of the applicable basket index by reference to the prices of the stocks included in the applicable basket index, without taking account of the value of dividends paid on those stocks. Therefore, the return on your CDs will not reflect the return you would realize if you actually owned the stocks included in each basket index and received the dividends paid on those stocks. You will not receive any dividends that may be paid on any of the index stocks by the index stock issuers. See “— You Have No Shareholder Rights or Rights to Receive Any Index Stock” below for additional information.

You Have No Shareholder Rights or Rights to Receive Any Index Stock

Investing in your CDs will not make you a holder of any shares of the index stocks of any of the basket indices. Neither you nor any other holder or owner of your CDs will have any voting rights, any right to receive dividends or other distributions or any other rights with respect to the index stocks comprising a basket index. Your CDs will be paid in cash, and you will have no right to receive delivery of any such stocks.

The Calculation Agent Will Have the Authority to Make Determinations That Could Affect the Market Value of Your CDs, When Your CDs Mature and the Amount You Receive at Maturity

As of the date of this disclosure statement supplement, we have appointed Goldman, Sachs & Co. as the calculation agent for your CDs. As calculation agent for your CDs, Goldman, Sachs & Co. will make all determinations regarding the initial index levels; the closing index levels; closing levels of the basket indices; final basket level; basket return; market disruption events; successor indices; the averaging dates; the determination date; the stated maturity date; the mandatory redemption date, if applicable; business days and trading days; the mandatory redemption amount, if applicable; the supplemental amount and the amount payable on your CDs; and any other determination as applicable or specified herein. The calculation agent also has discretion in making certain adjustments relating to a discontinuation or modification of any of the basket indices. The exercise of this discretion by the calculation agent could adversely affect the value of your CDs. We may change the calculation agent at any time without notice, and Goldman, Sachs & Co. may resign as calculation agent at any time upon 60 days’ written notice to Goldman Sachs Bank USA.

The Policies of an Index Sponsor and Changes that Affect a Basket Index to Which Your CDs are Linked or Index Stocks Comprising Such Basket Index Could Affect the Amount Payable on Your

CDs and Their Market Value

The policies of an index sponsor concerning the calculation of the level of a basket index, additions, deletions or substitutions of the index stocks comprising such basket index, and the manner in which changes affecting the index stocks or their issuers, such as stock dividends, reorganizations or mergers, are reflected in the level of a basket index, could affect the level of the applicable basket index and, therefore, the amount payable on your CDs on the stated maturity date and the market value of your CDs before that date. The amount payable on your CDs and their market value could also be affected if an index sponsor changes these policies, for example, by changing the manner in which it calculates the level of the applicable basket index, or if any index sponsor discontinues or suspends calculation or publication of the level of the applicable basket index, in which case it may become difficult to determine the market value of your CDs. If events such as these occur on any averaging date, the calculation agent may determine the closing level of the applicable basket index on the applicable averaging dates — and thus the amount payable on the stated maturity date — in a manner it considers appropriate, in its sole discretion. We describe the discretion that the calculation agent will have in determining the levels of the basket indices on the applicable averaging dates and the amount payable on your CDs more fully under “Specific Terms of Your Certificates of Deposit — Discontinuance or Modification of a Basket Index” on page S-21 and “Specific Terms of Your Certificates of Deposit — Role of Calculation Agent” on page S-22.

The Calculation Agent Can Postpone Any Averaging Date If a Market Disruption Event or Non-Trading Day Occurs or Is Continuing

If the calculation agent determines that, on a day that would otherwise be an averaging date, a market disruption event has occurred or is continuing with respect to a basket index or if such date is not a trading

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day, the applicable averaging date will be postponed until the first following trading day on which no market disruption event occurs or is continuing, subject to limitation on postponement described under “Specific Terms of Your Certificates of Deposit — Payment on Stated Maturity Date — Averaging Dates” on page S-20. If any averaging date is postponed to the last possible day and a market disruption event occurs or is continuing on such last possible day or such day is not a trading day with respect to such basket index, such day will nevertheless be the applicable averaging date.

If the final averaging date is postponed as a result of any of the foregoing, the stated maturity date for your CDs will also be postponed, as described under “Specific Terms of Your Certificates of Deposit — Payment on Stated Maturity Date — Stated Maturity Date” on page S-20. In such a case, you may not receive the cash payment that we are obligated to deliver on the stated maturity date until several days after the originally scheduled stated maturity date. If the closing level of a basket index is not available on any averaging date because of a market disruption event, a non-trading day or for any other reason (except as described under “Specific Terms of Your Certificates of Deposit — Discontinuance or Modification of a Basket Index” on page S-21), in certain circumstances the calculation agent will determine the closing level of such basket index, based on its assessment, made in its sole discretion, of the levels of applicable basket index on such day, as described under “Specific Terms of Your Certificates of Deposit — Consequences of a Market Disruption Event or a Non-Trading Day” on page S-20.

The Full Face Amount of Your CDs and the Supplemental Amount May Not Be Protected by FDIC Insurance

The CDs evidence deposit liabilities of Goldman Sachs Bank USA, which are covered by FDIC insurance. In general, the FDIC insures all deposits maintained by a depositor in the same ownership capacity at the same depository institution, and per participant for certain retirement accounts, up to a maximum limit of $250,000. These maximum limits are the total protection available for your CDs, together with any other deposit accounts you may hold at Goldman Sachs Bank USA in the same right and capacity. As a result, the full face amount of your CDs and any return thereon may not be protected by FDIC insurance.

Although FDIC insurance coverage includes the face amount of your CDs to the date of default of Goldman Sachs Bank USA, if the FDIC was appointed conservator or receiver of Goldman Sachs Bank USA prior to the determination date of the CDs, the FDIC has taken the position that any supplemental amount between the date of deposit and the date the FDIC was appointed receiver or conservator is not insured because such supplemental amount is not finally determined until the determination date of the CDs and would not be reflected on the books of Goldman Sachs Bank USA at the time of such appointment. Thus, the amount insured by the FDIC with respect to the CDs may be substantially less than the amount that would otherwise be payable on the CDs at maturity (and could be less than the applicable FDIC insurance limits). In addition, the FDIC takes the position that any secondary market premium paid by you above the face amount of the CDs is not insured by the FDIC. Also, FDIC insurance may not cover the CDs if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage. Further, if Goldman Sachs Bank USA’s status as an insured depository institution is terminated or suspended by the FDIC (including as a result of our actions) or is terminated by us, during the period of temporary insurance following the termination or suspension the FDIC insurance may not cover any amounts in excess of the face amount of the CDs. If you sell your CDs prior to maturity, FDIC insurance will not cover any resulting losses.

The FDIC may temporarily suspend the deposit insurance on deposits received by us if it has initiated involuntary FDIC termination insurance proceedings against us and certain other circumstances apply. If our FDIC insurance status were suspended, FDIC deposit insurance would continue to apply to deposits existing at the time of such suspension, but only for the benefit of the owners of deposits at the time of such suspension. Accordingly, any purchaser of a CD following such suspension would not have the benefit of FDIC deposit insurance, which would negatively affect the secondary market, if any, for the CDs.

To the Extent Payments under the CDs Are Not Insured by the FDIC, You Can Depend Only on Our Creditworthiness for Payment on the CDs

The CDs will be our obligations only. Except to the extent FDIC insurance is available from the FDIC, no entity other than Goldman Sachs Bank USA (or its receiver or conservator, if applicable, to the extent of

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any available remaining assets of Goldman Sachs Bank USA) will have any obligation, contingent or otherwise, to make any payments in respect of the CDs. Accordingly, we will be dependent on our assets and earnings to generate the funds necessary to meet our obligations with respect to the CDs. If our assets and earnings are not adequate, we may be unable to make payments in respect of the CDs and you could lose that part of your deposit, if any, that is not covered by FDIC insurance.

In the event of a liquidation or other resolution of Goldman Sachs Bank USA and the FDIC makes payment on the CDs under FDIC insurance, the FDIC will be subrogated to all rights of holders of the CDs against Goldman Sachs Bank USA, to the extent of such payment.

The CDs are obligations solely of Goldman Sachs Bank USA, and are not obligations of The Goldman Sachs Group, Inc. or any other affiliate of Goldman Sachs Bank USA. In addition, the CDs are not guaranteed by The Goldman Sachs Group, Inc. or any other affiliate of Goldman Sachs Bank USA.

Status as Uninsured Deposits Could Reduce Your Recovery of Principal Deposited and/or Adversely Affect Your Return

If the FDIC were appointed as conservator or receiver of Goldman Sachs Bank USA, the amount actually paid by the FDIC in this capacity on the claims of holders of the CDs in excess of the amount insured by the FDIC and paid under FDIC insurance would depend upon, among other factors, the amount of conservatorship or receivership assets available for the payment of claims of deposit liabilities.

If appointed as conservator or receiver of Goldman Sachs Bank USA, the FDIC also would be authorized to disaffirm or repudiate any contract to which Goldman Sachs Bank USA is a party, the performance of which was determined to be burdensome, and the disaffirmance or repudiation of which was determined to promote the orderly administration of Goldman Sachs Bank USA’s affairs. It is likely that for this purpose deposit obligations, such as the CDs, would be considered “contracts” within the meaning of the foregoing and that the CDs could be repudiated by the FDIC as conservator or receiver of Goldman Sachs Bank USA. Such repudiation should result in a claim by a depositor against the conservator or receiver for the face amount of the CDs. No claim would be available, however, for any secondary market premium paid by a depositor above the face amount of a CD and no claims would likely be available for any supplemental amount that has not yet been finally determined and accrued.

The FDIC as conservator or receiver may also transfer to another insured depository institution any of the insolvent institution’s assets and liabilities, including deposit liabilities such as the CDs (or only the insured portion thereof), without the approval or consent of the beneficial owners of the CDs. The transferee depository institution would be permitted to offer beneficial owners of the CDs (or the insured portion thereof so transferred) the choice of (i) repayment of the principal amount so transferred or (ii) substitute terms which may be less favorable. If a CD is paid off prior to its stated maturity date, either by a transferee depository institution or the FDIC, its beneficial owner may not be able to reinvest the funds at the same rate of return as the rate on the original CD.

As with all deposits, if it becomes necessary for FDIC insurance payments to be made on the CDs, there is no specific time period during which the FDIC must make insurance payments available. Accordingly, in such an event, you should be prepared for the possibility of an indeterminate delay in obtaining insurance payments.

Except to the extent insured by the FDIC as described in this disclosure statement supplement and the accompanying disclosure statement, the CDs are not otherwise insured by any governmental agency or instrumentality or any other person.

You Will Not Have the Right to Withdraw the Face Amount of Your CDs Prior to the Stated Maturity Date

When you purchase the CDs, you agree with Goldman Sachs Bank USA to keep your funds on deposit for the term of the CDs. You will not have the right to withdraw any portion of the face amount of your CDs prior to the stated maturity date. Therefore, you should not rely on the possibility of early withdrawal for gaining access to your funds prior to the stated maturity date.

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Your CDs Are Subject to Mandatory Redemption

In the event our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions or if regulatory or statutory changes in the future render the CDs ineligible for FDIC insurance coverage, to the extent permitted by the applicable law and regulation we will redeem your CDs in full, unless they mature prior to the redemption date, as described under “Specific Terms of Your Certificates of Deposit — Mandatory Redemption” on page S-21. The payment amount you receive upon such redemption due to the termination of FDIC insurance may be less than the amount you would have otherwise received on the stated maturity date. This commitment to redeem your CDs may not be enforceable under certain circumstances, such as if the FDIC has been appointed receiver or conservator of the bank.

If Your CDs Are Mandatorily Redeemed You May Not Receive the Mandatory Redemption Amount for Up to Almost Two Years and You Will Not Receive Any Interest Payments on Such Amounts. In

Addition, the Full Mandatory Redemption Amount May Not Be Protected by FDIC Insurance

In the event our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions, or if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage, to the extent permitted by applicable law and regulation, we will redeem your CDs in full, unless they mature prior to the redemption date, as described under “Specific Terms of Your Certificates of Deposit — Mandatory Redemption” on page S-21. As described therein, in the event our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions, the mandatory redemption amount will be determined by the tenth business day after our status as an insured depository institution is terminated by the FDIC, but the mandatory redemption amount will not be paid until the last business day on which any of our outstanding deposit obligations would be insured by the FDIC, which may not occur for a period of six months to up to almost two years after the mandatory redemption amount is determined (depending on the period of temporary deposit insurance provided by the FDIC following the termination of our status as an insured depository institution). During this time period, the mandatory redemption amount will not bear interest and the CDs will not otherwise be exposed to market movements. Thus, the overall return you earn on your CDs in the event of a mandatory redemption may be less than you would have earned if our status as an insured depository institution had not been terminated.

In addition, the temporary deposit insurance that would be provided by the FDIC following termination of our status as an insured depository institution will cover only those amounts accrued with respect to your CDs on the date of such termination. As a result, the mandatory redemption amount, to the extent it exceeds the face amount, may not be covered by FDIC insurance. Therefore, you may be fully exposed to our credit risk to the extent the mandatory redemption amount exceeds the face amount of your CDs.

If Regulatory Changes Render the CDs Ineligible for FDIC Insurance Coverage, Your CDs May Not Be Covered by FDIC Insurance and Will Be Subject to Mandatory Redemption

If the FDIC or another regulatory body determines that the CDs are not eligible for FDIC insurance coverage, to the extent permitted by law we will redeem your CDs in full, unless they mature prior to the redemption date, as described, and subject to the limits set forth, under “Specific Terms of Your Certificates of Deposit — Mandatory Redemption” on page S-21. Until the date of such redemption, which will occur ten business days after the effective date of any such regulation, ruling or interpretation that renders the CDs ineligible for FDIC insurance, you will be fully exposed to our credit risk and you would not be entitled to FDIC insurance if Goldman Sachs Bank USA becomes insolvent and the FDIC is appointed its conservator or receiver.

Your CDs Will Be Treated as Debt Instruments Subject to Special Rules Governing Contingent Payment Debt Instruments for U.S. Federal Income Tax Purposes

Your CDs will be treated as debt instruments subject to special rules governing contingent payment debt instruments for U.S. federal income tax purposes. If you are a U.S. individual or a taxable entity, you generally will be required to pay taxes on ordinary income from the CDs over their term based on the comparable yield for the CDs, even though you will not receive any payments from us until maturity. As a result, you will generally be required to include amounts in income in respect of your CDs prior to your receipt of cash attributable to such income. In addition, any gain you may recognize on the sale or maturity

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of the CDs will generally be taxed as ordinary interest income. If you are a secondary purchaser of the CDs or if you purchase the CDs for an amount that is different from the adjusted issue price of the CDs (as defined under “United States Taxation — United States Holders — Indexed and Other Certificates of Deposit” in the accompanying disclosure statement), the tax consequences to you may be different. Please see “Supplemental Discussion of United States Federal Income Tax Consequences” below for a more detailed discussion. Please also consult your own tax advisor concerning the U.S. federal income tax and any other applicable tax consequences to you of owning your CDs in your particular circumstances.

Certain Considerations for Insurance Companies and Employee Benefit Plans

Any insurance company or fiduciary of a pension plan or other employee benefit plan that is subject to the prohibited transaction rules of the Employee Retirement Income Security Act of 1974, as amended, which we call “ERISA”, or the Internal Revenue Code of 1986, as amended, including an IRA or a Keogh plan (or a governmental plan to which similar prohibitions apply), and that is considering purchasing the CDs with the assets of the insurance company or the assets of such a plan, should consult with its counsel regarding whether the purchase or holding of the CDs could become a “prohibited transaction” under ERISA, the Internal Revenue Code or any substantially similar prohibition in light of the representations a purchaser or holder in any of the above categories is deemed to make by purchasing and holding the CDs. This is discussed in more detail under “Employee Retirement Income Security Act” on page 55 of the accompanying disclosure statement.

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SPECIFIC TERMS OF YOUR CERTIFICATES OF DEPOSIT

Please note that in this section entitled “Specific Terms of Your Certificates of Deposit”, references to “holders” mean those who own CDs registered in their own names, on the books that we or the paying agent may maintain for this purpose, and not those who own beneficial interests in a master certificate registered in street name through The Depository Trust Company. Please review the special considerations that apply to owners of beneficial interests in the accompanying disclosure statement, under “Legal Ownership and Payment”.

This disclosure statement supplement summarizes specific financial and other terms that apply to the

offered CDs, including your CDs; terms that apply generally to all CDs are described in “Description of Certificates of Deposit We May Offer” in the accompanying disclosure statement. The terms described here supplement those described in the accompanying disclosure statement and, if the terms described here are inconsistent with those described there, the terms described here are controlling. The offered CDs are “indexed CDs” as described in the accompanying disclosure statement.

Please note that the information about the settlement date or trade date, issue price, placement fee and net proceeds to Goldman Sachs Bank USA on the front cover page or elsewhere in this disclosure statement supplement relates only to the initial issuance and sale of the CDs. If you have purchased your CDs in a market-making transaction after the initial issuance and sale of the CDs, any such relevant information about the sale to you will be provided in a separate confirmation of sale.

In addition to those terms described on the cover page and under “Summary Information” of this disclosure statement supplement, the following terms will apply to your CDs:

Denominations

Each CD registered in the name of a holder must have a face amount of $1,000 and integral multiples of $1,000 in excess thereof.

Basket Indices, Index Sponsors and Index Stocks

In this disclosure statement supplement, when we refer to a basket index, we mean the applicable basket index included in the basket specified on the front cover page, or any successor indices as they may be modified, replaced or adjusted from time to time as described under “— Discontinuance or Modification of a Basket Index” below. When we refer to an index sponsor as of any time, we mean the entity, including any successor sponsor, that determines and publishes the applicable basket index as then in effect. When we refer to the index stocks as of any time, we mean the stocks that comprise the applicable basket index as then in effect, after giving effect to any additions, deletions or substitutions.

Payment on Stated Maturity Date

Unless we redeem your CDs as described under “— Mandatory Redemption” or “— Optional Redemption in the Event of Death or Adjudication of Incompetence” below, on the stated maturity date, we will pay you for each $1,000 face amount of your CDs an amount in cash equal to the sum of $1,000 plus the supplemental amount. You will receive at least 100% plus the minimum return of your CDs at maturity.

Supplemental Amount

For each $1,000 face amount of your CDs, the supplemental amount will equal the greater of:

• the product of $1,000 times the basket return; and

• the product of $1,000 times the minimum return.

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Basket Return

The basket return is equal to the quotient of (i) the final basket level minus the initial basket level divided by (ii) the initial basket level, expressed as a percentage.

The initial basket level is 100. The final basket level will equal the arithmetic average of the basket closing levels on each of the averaging dates.

The basket closing level on each averaging date will equal the sum of the amounts calculated, with respect to each basket index, equal to: (i) the closing index level, which is the closing level of such basket index on such averaging date, divided by (ii) the initial index level for such basket index, multiplied by (iii) the initial weighted value of 25, in each case subject to adjustment.

The initial index level with respect to each basket index equals the closing level of each such basket index on the trade date. The closing index level with respect to each basket index will equal the closing level of such basket index on each of the averaging dates, subject to adjustments as described under “— Consequences of a Market Disruption Event or a Non-Trading Day” and “— Discontinuance or Modification of a Basket Index” below.

Minimum Return

The minimum return is 2.1% (corresponding to an annual percentage yield of 0.30%).

Stated Maturity Date

The stated maturity date is September 30, 2019, unless that day is not a business day, in which case the stated maturity date will be the next following business day. If the last averaging date is postponed as described under “— Averaging Dates” below, the stated maturity date will be postponed by the same number of business day(s) from but excluding the originally scheduled date for such averaging date to and including the postponed averaging date.

Averaging Dates

The averaging dates are expected to be each March 25, June 25, September 25 and December 25, commencing on December 25, 2012, unless the calculation agent determines that a market disruption event occurs or is continuing with respect to a basket index on those days or any of those days are not trading days. In the event of a non-trading day with respect to any basket index, the affected averaging date will be the first following trading day for all basket indices. In the event of a market disruption event with respect to a basket index, the affected averaging date will be the first following trading day with respect to such basket index on which the calculation agent determines that a market disruption event with respect to such basket index does not occur and is not continuing. In no event, however, will an averaging date be postponed by more than three scheduled trading days, or, in the case of the last averaging date, beyond the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. If a market disruption event with respect to any basket index occurs or is continuing on the last possible day for any given averaging date or such last possible day is not a trading day with respect to such basket index, that day will nevertheless be the applicable averaging date and, in the case of the last averaging date, the determination date.

Consequences of a Market Disruption Event or a Non-Trading Day

If a non-trading day occurs with respect to any basket index on an originally scheduled averaging date, then the applicable averaging date will be postponed as described under “— Averaging Dates” above. If the last averaging date is postponed as a result of the foregoing, the stated maturity date for your CDs may also be postponed, as described under “— Stated Maturity Date” above. If an averaging date is postponed to the last possible averaging date due to the occurrence of serial non-trading days, the level of the basket indices will be the calculation agent’s assessment of such level, in its sole discretion, on such last possible postponed averaging date.

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If any averaging date is postponed due to a market disruption event, the basket closing level for the applicable averaging date will be calculated based on (i) the closing level of each of the basket indices that is not affected by the market disruption event, if any, on the applicable originally scheduled averaging date, (ii) the closing level of each basket index that is affected by the market disruption event on the first trading day for such basket index following the applicable originally scheduled averaging date on which no market disruption event exists for that basket index, and (iii) the calculation agent’s assessment, in its sole discretion, of the level of the basket index on the last possible postponed averaging date with respect to each basket index as to which a market disruption event or non-trading day with respect to such basket index continues through the last possible postponed averaging date.

Discontinuance or Modification of a Basket Index

If an index sponsor discontinues publication of an index and the index sponsor or anyone else publishes a substitute basket index that the calculation agent determines is comparable to the applicable basket index, or if the calculation agent designates a substitute basket index, then the calculation agent will determine the amount payable on the stated maturity date by reference to the substitute basket index. We refer to any substitute basket index approved by the calculation agent as a successor basket index.

If the calculation agent determines that the publication of a basket index is discontinued and there is no successor basket index, the calculation agent will determine the amount payable on the stated maturity date by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the applicable basket index.

If the calculation agent determines that a basket index, the index stocks or the method of calculating a basket index is changed at any time in any respect — including any split or reverse split and any addition, deletion or substitution and any reweighting or rebalancing of the applicable basket index or of the index stocks and whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the publication of a successor basket index, is due to events affecting one or more of the index stocks or their issuers or is due to any other reason — and is not otherwise reflected in the level of the applicable basket index by the corresponding index sponsor pursuant to the index methodology described under “The Basket Indices” below, then the calculation agent will be permitted (but not required) to make such adjustments in the applicable basket index or the method of its calculation as it believes are appropriate to ensure that the basket closing levels used to determine the amount payable on the stated maturity date, are equitable.

All determinations and adjustments to be made by the calculation agent may be made by the calculation agent in its sole discretion. The calculation agent is not obligated to make any such adjustments.

Mandatory Redemption

If our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions, or if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage, to the extent permitted by law and regulation, we will redeem your CDs then outstanding on the applicable mandatory redemption date in full at a price equal to the mandatory redemption amount, which is described under “— Special Calculation Provisions — Mandatory Redemption Amount” below. This commitment to redeem your CDs may not be enforceable under certain circumstances, such as if the FDIC has been appointed receiver or conservator of the bank. No supplemental amount will be paid on the effective date of such regulatory or statutory change or such termination of our status as an insured depository institution, if such termination were to occur. The mandatory redemption date following any such termination, however, will be the last business day on which any of our outstanding deposit obligations would be insured by the FDIC pursuant to temporary deposit insurance provided by the FDIC. Such date may not occur for a period of six months to up to almost two years after the mandatory redemption amount is determined (depending on the period of temporary deposit insurance provided by the FDIC following the termination of our status as an insured depository institution). If regulatory or statutory changes render the CDs ineligible for FDIC insurance, the mandatory redemption date following such change will be the tenth business day after the effective date of any such regulation, ruling or interpretation which renders the CDs ineligible for FDIC insurance coverage. The mandatory redemption amount will not bear interest. We describe the mandatory redemption amount under “— Special Calculation Provisions” below.

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Notwithstanding the foregoing, in the event the mandatory redemption date occurs on or after the stated maturity date, you will receive the amount described under “— Payment on Stated Maturity Date” above.

Optional Redemption in the Event of Death or Adjudication of Incompetence

The authorized representative of a deceased or incapacitated beneficial owner of a CD will have the option to redeem the CDs before (not on or after) the stated maturity date as described under “Description of the Certificates of Deposit We May Offer — Redemption” on page 33 of the accompanying disclosure statement.

The value of the CDs may be greater than their face amount on the date of such early redemption. Accordingly, the authorized representative should contact your broker to determine the market price of the CDs and should otherwise carefully consider whether to sell the CDs to your broker or another market participant rather than redeeming the CDs at the face amount pursuant to a request for redemption.

Manner of Payment

We will make any payments in accordance with the applicable procedures of the depositary.

Role of Calculation Agent

The calculation agent will make all determinations regarding the initial index levels; the closing index levels; closing levels of the basket indices; final basket level; basket return; market disruption events; successor indices; the averaging dates; the determination date; the stated maturity date; the mandatory redemption date, if applicable; business days and trading days; the mandatory redemption amount, if applicable; the supplemental amount and the amount payable on your CDs at maturity; and any other determination as applicable or specified herein. The calculation agent also has discretion in making certain adjustments relating to a discontinuation or modification of any of the basket indices. Absent manifest error, all determinations of the calculation agent will be final and binding on you and us, without any liability on the part of the calculation agent.

Please note that Goldman, Sachs & Co., our affiliate, is currently serving as the calculation agent as of the original issue date of your CDs. We may change the calculation agent for your CDs at any time after the original issue date without notice, and Goldman, Sachs & Co. may resign as calculation agent at any time upon 60 days’ written notice to us.

Special Calculation Provisions

Business Day

When we refer to a business day with respect to your CDs, we mean each Monday, Tuesday, Wednesday, Thursday and Friday that is not a day on which banking institutions in New York City are authorized or obligated by law, regulation or executive order to close.

Trading Day

When we refer to a trading day with respect to any basket index other than the EURO STOXX 50®

Index, we mean a day on which (i) the applicable principal securities markets for all of the index stocks that comprise such basket index are open for trading, (ii) the index sponsor for such basket index is open for business and (iii) such basket index is calculated and published by the applicable index sponsor. Although an index sponsor may publish a level with respect to the applicable basket index on a day when one or more of the principal securities markets for the index stocks for the applicable basket index are closed, that day would not be a trading day for purposes of the applicable basket index.

When we refer to a trading day with respect to the EURO STOXX 50® Index, we mean a day on which

the EURO STOXX 50® Index is calculated and published by the applicable index sponsor. Therefore, in the

case of the EURO STOXX 50® Index, a day would be a trading day regardless of whether one or more of the

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principal securities markets for the index stocks for the EURO STOXX 50® Index are closed on that day, if

the index sponsor publishes the EURO STOXX 50® Index level on that day.

Closing Level

When we refer to the closing level of a basket index on any trading day, we mean the official closing level of the basket index or any successor basket index published by the index sponsor on such trading day.

Mandatory Redemption Amount

The mandatory redemption amount for your CDs on any day will be an amount equal to the greater of:

• the face amount of your CDs, and

• the cost of having a qualified financial institution, of the kind and selected as described below, expressly assume all of our payment and other obligations with respect to your CDs as of that day and as if our insured status had not been terminated or the CDs had not been rendered ineligible for FDIC insurance coverage, or to undertake other obligations providing substantially equivalent economic value to you with respect to your CDs.

That cost will equal:

• the lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus

• the reasonable expenses, including reasonable attorneys’ fees, incurred by the holder of the CDs in preparing any documentation necessary for this assumption or undertaking.

In no event, however, will the mandatory redemption amount for your CDs be less than the face amount of your CDs.

During the mandatory redemption quotation period for your CDs, which we describe below, the holder and/or we may request a qualified financial institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest — or, if there is only one, the only — quotation obtained, and as to which notice is so given, during the mandatory redemption quotation period. With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing of those grounds within two business days after the last day of the mandatory redemption quotation period, in which case that quotation will be disregarded in determining the mandatory redemption amount.

Mandatory Redemption Quotation Period

The mandatory redemption quotation period is the period beginning, as applicable, on: (i) the day on which our status as an insured depository institution is terminated by the FDIC, or (ii) the effective date of any regulation, ruling or interpretation that renders the CDs ineligible for FDIC insurance, in each case ending on the third business day after that day, unless:

• no quotation of the kind referred to above is obtained,

• every quotation of that kind obtained is objected to within five business days after the day on which our status as an insured depository institution is terminated or the effective date of any regulation, ruling or interpretation that renders the CDs ineligible for FDIC insurance, as applicable, or

• the mandatory redemption amount based on the quotation of that kind obtained and not objected to would be less than the face amount of your CDs.

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If any of these three events occurs, the mandatory redemption quotation period will continue until the third business day after the first business day on which prompt notice of a quotation is given as described above, if that quotation is objected to as described above within five business days after that first business day or if the mandatory redemption amount based on that quotation would be less than the face amount of your CDs, however, the mandatory redemption quotation period will continue as described in the prior sentence and this sentence.

In any event, in the case of a regulatory or statutory change-related mandatory redemption, if the mandatory redemption quotation period and the subsequent two business day objection period have not ended before the business day preceding the mandatory redemption date, or in the case of an insurance status-related mandatory redemption, if the mandatory redemption quotation period and subsequent two business day objection period have not ended before the tenth business day after the start of the mandatory redemption quotation period, then the mandatory redemption amount will equal the face amount of your CDs.

Because the mandatory redemption date with respect to a termination of our status as an insured depository institution will occur only at the end of the applicable grace period during which our deposits remain insured pursuant to temporary insurance after our status as an insured depository institution has been terminated by the FDIC, you may not receive the mandatory redemption amount for a period of up to almost two years after the end of the mandatory redemption quotation period and you will not earn interest on that amount or on the face amount of the CDs during that period.

Qualified Financial Institutions

For the purpose of determining the mandatory redemption amount at any time, a qualified financial institution must be a financial institution organized under the laws of any jurisdiction in the United States of America, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and that is rated either:

• A-1 or higher by Standard & Poor’s Ratings Services or any successor, or any other comparable rating then used by that rating agency, or

• P-1 or higher by Moody’s Investors Service, Inc. or any successor, or any other comparable rating then used by that rating agency.

Market Disruption Event

With respect to any given trading day, any of the following will be a market disruption event with respect to a basket index:

• a suspension, absence or material limitation of trading in index stocks constituting 20% or more, by weight, of the index on their respective primary markets, in each case for more than two consecutive hours of trading or during the one-half hour before the close of trading in that market, as determined by the calculation agent in its sole discretion, or

• a suspension, absence or material limitation of trading in option or futures contracts, if available, relating to the index or to index stocks constituting 20% or more, by weight, of such basket index, in the respective primary markets for those contracts, in each case for more than two consecutive hours of trading or during the one-half hour before the close of trading in that market, as determined by the calculation agent in its sole discretion, or

• index stocks constituting 20% or more, by weight, of the index, or option or futures contracts, if available, relating to the index or to index stocks constituting 20% or more, by weight, of the index, do not trade on what were the respective primary markets for those index stocks or contracts, as determined by the calculation agent in its sole discretion,

and, in the case of any of these events, the calculation agent determines in its sole discretion that the event could materially interfere with the ability of Goldman Sachs Bank USA or any of its affiliates or a similarly situated party to unwind all or a material portion of a hedge that could be effected with respect to the offered

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CDs. For more information about hedging by Goldman Sachs Bank USA and/or any of its affiliates, see “Use of Proceeds and Hedging” on page S-32.

The following events will not be market disruption events:

• a limitation on the hours or numbers of days of trading, but only if the limitation results from an announced change in the regular business hours of the relevant market, and

• a decision to permanently discontinue trading in the option or futures contracts relating to the applicable basket index or to any index stock.

For this purpose, an “absence of trading” in the primary securities market on which an index stock, or on which option or futures contracts, if available, relating to any basket index or any index stock, are traded will not include any time when that market is itself closed for trading under ordinary circumstances. In contrast, a suspension or limitation of trading in an index stock or in option or futures contracts, if available, relating to any basket index or any index stock, in the primary market for that stock or those contracts, by reason of:

• a price change exceeding limits set by that market, or

• an imbalance of orders relating to that index stock or those contracts, or

• a disparity in bid and ask quotes relating to that index stock or those contracts,

will constitute a suspension or material limitation of trading in that stock or those contracts in that market.

As is the case throughout this disclosure statement supplement, references to a basket index in this description of market disruption events includes the applicable basket index and any successor basket index as it may be modified, replaced or adjusted from time to time.

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HYPOTHETICAL EXAMPLES

The following table, chart and examples are provided for purposes of illustration only. They should not be taken as an indication or prediction of future investment results and are intended merely to illustrate the impact that various hypothetical basket closing levels on the averaging dates could have on the payment amount at maturity assuming all other variables remain constant.

The examples below are based on a range of basket closing levels and final basket levels that are entirely hypothetical; no one can predict what the levels of the basket indices will be on any day throughout the life of your CDs, and, in particular, no one can predict what the basket closing level will be on any averaging date. The basket indices have been highly volatile in the past — meaning that the levels of the basket indices have changed considerably in relatively short periods — and their performance cannot be predicted for any future period.

The information in the following examples reflects hypothetical rates of return on the offered CDs assuming that they are purchased on the original issue date at the face amount and held to the stated maturity date. If you sell your CDs in a secondary market prior to the stated maturity date, your return will depend upon the market value of your CDs at the time of sale, which may be affected by a number of factors that are not reflected in the table below such as interest rates, the volatility of the basket and our creditworthiness. In addition, the estimated value of your CDs at the time the terms of your CDs were set on the trade date (as determined by reference to pricing models used by Goldman, Sachs & Co.) was less than the original issue price of your CDs. For more information on the estimated value of your CDs, see “Additional Risk Factors Specific to Your Certificates of Deposits — The Estimated Value of Your CDs At the Time the Terms of Your CDs Were Set On the Trade Date (as Determined By Reference to Pricing Models Used By Goldman, Sachs & Co.) Was Less Than the Original Issue Price Of Your CDs” on page S-12 of this disclosure statement supplement. The information in the table also reflects the key terms and assumptions in the box below.

Key Terms and Assumptions

Face amount ................................................................................................................................. $1,000

Initial basket level .......................................................................................................................... 100

Minimum return ............................................................................................................................. 2.1%

Neither a market disruption event nor a non-trading day occurs with respect to any basket index on any of the originally scheduled averaging dates

No change in or affecting any of the index stocks or the methods by which any of the index sponsors calculates the applicable basket index

CDs purchased on original issue date and held to the stated maturity date

For these reasons, the actual performance of the basket over the life of your CDs, particularly on each

of the averaging dates, as well as the amount payable at maturity may bear little relation to the hypothetical examples shown below or to the historical levels of the basket indices shown elsewhere in this disclosure statement supplement. For information about the historical levels of the basket indices during recent periods, see “The Basket Indices — Historical Quarterly High, Low and Closing Levels of the Basket Indices” on page S-50 below. Before investing in the offered CDs, you should consult publicly available information to determine the level of the basket indices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs.

Also, the hypothetical examples shown below do not take into account the effects of applicable taxes. Because of the U.S. tax treatment applicable to your CDs, tax liabilities could affect the after-tax rate of return on your CDs to a comparatively greater extent than the after-tax return on the index stocks.

The levels in the left column of the table below represent hypothetical final basket levels and are expressed as percentages of the initial basket level. The amounts in the right column represent the hypothetical payment amounts, based on the corresponding hypothetical final basket level (expressed as a

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percentage of the initial basket level), and are expressed as percentages of the face amount of a CD (rounded to the nearest one-hundredth of a percent). Thus, a hypothetical payment amount of 100.00% means that the value of the cash payment that we would deliver for each $1,000 of the outstanding face amount of the offered CDs on the stated maturity date would equal 100.00% of the face amount of a CD, based on the corresponding hypothetical final basket level (expressed as a percentage of the initial basket level) and the assumptions noted above.

Hypothetical Final Basket Level (as % of Initial Basket Level)

Hypothetical Payment Amount (as % of Face Amount)

170.00% 170.00% 160.00% 160.00% 150.00% 150.00% 135.00% 135.00% 125.00% 125.00% 110.00% 110.00% 105.00% 105.00% 102.10% 102.10% 100.00% 102.10% 90.00% 102.10% 70.00% 102.10% 50.00% 102.10% 20.00% 102.10% 0.00% 102.10%

If, for example, the final basket level were determined to be 50.00% of the initial basket level, the payment amount that we would deliver on your CDs at maturity would be 102.10% of the face amount of your CDs, as shown in the table above. As a result, if you purchased your CDs on the original issue date at the face amount and held them to the stated maturity date, you would receive a supplemental amount on your CDs equal to the minimum return multiplied by $1,000. In addition, if the final basket level were determined to be 150.00% of the initial basket level, the payment amount that we would deliver on your CDs at maturity would be 150.00% of each $1,000 face amount of your CDs, as shown in the table above.

The following chart also shows a graphical illustration of the hypothetical payment amounts (expressed as a percentage of the face amount of your CDs) that we would pay on your CDs on the stated maturity date, if the final basket level (expressed as a percentage of the initial basket level) were any of the hypothetical levels shown on the horizontal axis. The chart shows that any hypothetical final basket level (expressed as a percentage of the initial basket level) of equal to or less than 102.10% (the section left of the 102.10% marker on the horizontal axis) would result in a hypothetical payment amount of 102.10% of the face amount of your CDs.

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0.00%

50.00%

100.00%

150.00%

200.00%

0.00% 50.00% 100.00% 150.00% 200.00%

Hyp

oth

etic

al P

aym

ent

Am

ou

nt

as %

of

Fac

e A

mo

un

t

Hypothetical Final Basket Level as % of Initial Basket Level

CDPerformance

Basket Performance

15.00%

102.10%

The examples below demonstrate how changes in the basket closing levels on the averaging dates may affect the payment amount that you will receive on the stated maturity date for each $1,000 face amount of your CDs, based on the assumptions noted below. Due to the large number of averaging dates that apply to your CDs (your CDs will have 28 averaging dates, assuming the CDs are not redeemed prior to maturity), the examples below illustrate only the basket closing levels for 14 averaging dates (42 months of performance). The hypothetical basket returns below are rounded to the nearest one-thousandth of a percent.

Scenario 1

Initial Basket Level 100

Basket Closing Level, 1st Averaging Date 90

Basket Closing Level, 2nd Averaging Date 80

Basket Closing Level, 3rd Averaging Date 70

Basket Closing Level, 4th Averaging Date 60

Basket Closing Level, 5th Averaging Date 60

Basket Closing Level, 6th Averaging Date 70

Basket Closing Level, 7th Averaging Date 80

Basket Closing Level, 8th Averaging Date 90

Basket Closing Level, 9th Averaging Date 100

Basket Closing Level, 10th Averaging Date 110

Basket Closing Level, 11th Averaging Date 120

Basket Closing Level, 12th Averaging Date 130

Basket Closing Level, 13th Averaging Date 140

Basket Closing Level, 14th Averaging Date 150

Hypothetical Final Basket Level (Assuming a Total of 14 Averaging Dates) 96.429

Hypothetical Basket Return -3.571%

Hypothetical Supplemental Amount $21.00

Hypothetical Payment Amount at Maturity on a $1,000 Face Amount $1,021.00

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In the first scenario, the basket closing level is lower than the initial basket level on each of the first eight averaging dates and returns to the initial basket level on the ninth averaging date. The basket closing level then is higher than the initial basket level on each subsequent averaging date, eventually reaching a level on the final averaging date that is 50.000% higher than the initial basket level. However, due to the decrease in the basket closing level relative to the initial basket level on each of the first eight averaging dates, the final basket level, which is the arithmetic average (as determined by the calculation agent) of the basket closing levels on each of the averaging dates, is lower than the initial basket level. At maturity, the supplemental amount will be $21.00 and you will receive $1,021.00 for each $1,000 face amount of your CDs.

Scenario 2

Initial Basket Level 100

Basket Closing Level, 1st Averaging Date 80

Basket Closing Level, 2nd Averaging Date 120

Basket Closing Level, 3rd Averaging Date 80

Basket Closing Level, 4th Averaging Date 120

Basket Closing Level, 5th Averaging Date 80

Basket Closing Level, 6th Averaging Date 120

Basket Closing Level, 7th Averaging Date 80

Basket Closing Level, 8th Averaging Date 120

Basket Closing Level, 9th Averaging Date 80

Basket Closing Level, 10th Averaging Date 120

Basket Closing Level, 11th Averaging Date 80

Basket Closing Level, 12th Averaging Date 120

Basket Closing Level, 13th Averaging Date 80

Basket Closing Level, 14th Averaging Date 120

Hypothetical Final Basket Level (Assuming a Total of 14 Averaging Dates) 100.000

Hypothetical Basket Return 0.000%

Hypothetical Supplemental Amount $21.00

Hypothetical Payment Amount at Maturity on a $1,000 Face Amount $1,021.00

In the second scenario, the basket closing level fluctuates dramatically from one averaging date to the next averaging date. The increases in the basket closing level on some of the averaging dates are offset by decreases in the basket closing level on the other averaging dates. As a result, the final basket level is equal to the initial basket level. At maturity, the supplemental amount will be $21.00 and you will receive only $1,021.00 for each $1,000 face amount of the CDs, even though the basket closing level on the last averaging date increased by 20.000% from the initial basket level.

Scenario 3

Initial Basket Level 100

Basket Closing Level, 1st Averaging Date 105

Basket Closing Level, 2nd Averaging Date 110

Basket Closing Level, 3rd Averaging Date 115

Basket Closing Level, 4th Averaging Date 120

Basket Closing Level, 5th Averaging Date 125

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Basket Closing Level, 6th Averaging Date 130

Basket Closing Level, 7th Averaging Date 135

Basket Closing Level, 8th Averaging Date 140

Basket Closing Level, 9th Averaging Date 145

Basket Closing Level, 10th Averaging Date 150

Basket Closing Level, 11th Averaging Date 155

Basket Closing Level, 12th Averaging Date 160

Basket Closing Level, 13th Averaging Date 165

Basket Closing Level, 14th Averaging Date 82.5

Hypothetical Final Basket Level (Assuming a Total of 14 Averaging Dates) 131.250

Hypothetical Basket Return 31.250%

Hypothetical Supplemental Amount $312.50

Hypothetical Payment Amount at Maturity on a $1,000 Face Amount $1,312.50

In the third scenario, the basket closing level increases on the first thirteen averaging dates, but decreases to a level that is 17.500% lower than the initial basket level on the last averaging date. Even though the basket closing level steadily increases over most averaging dates, the dramatic decrease in the basket closing level on one averaging date has a large impact on the final basket level. At maturity, for each $1,000 face amount of your CDs, you will receive $1,312.50 (the sum of the $1,000 face amount plus the supplemental amount of $312.50). The hypothetical return on the CDs at maturity represents a 31.250% increase above the $1,000 face amount.

The payment amounts and supplemental amounts shown above are entirely hypothetical; they are based on basket closing levels that may not be achieved on the averaging dates and on assumptions that may prove to be erroneous. In addition, the examples above illustrate hypothetical payment amounts based on only 14 averaging dates while your CDs will have a total of 28 averaging dates, assuming that they are not redeemed prior to maturity. The actual market value of your CDs on the stated maturity date or at any other time, including any time you may wish to sell your CDs, may bear little relation to the hypothetical payment amounts shown above, and these amounts should not be viewed as an indication of the financial return on an investment in the offered CDs. Please read “Additional Risk Factors Specific to Your Certificates of Deposit — The Market Value of Your CDs May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways” on page S-14.

Payments on the CDs are economically equivalent to the amounts that would be paid on a combination of other instruments. For example, payments on the CDs are economically equivalent to a combination of a zero coupon bond bought by the holder and one or more options entered into between the holder and us (with one or more implicit option premiums paid over time). The discussion in this paragraph does not modify or affect the terms of the CDs or the United States income tax treatment of the CDs, as described elsewhere in this disclosure statement supplement.

We cannot predict the actual basket closing levels on each of the averaging dates or the market value of your CDs, nor can we predict the relationship between the basket closing levels and the market value of your CDs at any time prior to the stated maturity date. The actual amount that a holder of the CDs will receive at maturity and the rate of return on the offered CDs will depend on the actual basket closing level on each of the averaging dates, as determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your CDs on the stated maturity date may be very different from the information reflected in the table, chart and examples above.

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USE OF PROCEEDS

We will use the net proceeds we receive from the sale of the offered CDs for the purposes we describe in the accompanying disclosure statement under “Use of Proceeds”.

HEDGING

In anticipation of the sale of the CDs, we and/or our affiliates of ours have entered into or expect to enter into cash-settled hedging transactions involving purchases of the listed or over-the-counter options, futures and/or other instruments linked to the basket indices or the index stocks. In addition, from time to time after we issue the CDs, we and/or our affiliates expect to enter into additional hedging transactions and to unwind those we have entered into, in connection with the CDs and perhaps in connection with other CDs we issue, some of which may have returns linked to any one or more of the basket indices or the index stocks. Consequently, with regard to your CDs, from time to time, we and/or our affiliates expect to acquire or dispose of cash-settled positions in listed or over-the-counter options, futures or other instruments linked to the basket indices or some or all index stocks.

We and/or our affiliates may acquire a long or short position in securities similar to the offered CDs from time to time and may, in our or their sole discretion, hold or resell those securities.

In the future, we and/or our affiliates expect to close out hedge positions relating to the CDs and perhaps relating to other CDs with returns linked to the basket indices or the index stocks. We expect our affiliates’ steps to involve sales of instruments linked to the basket indices or the index stocks on or shortly before any averaging date. Our affiliates’ steps also may involve sales and/or purchases of some or all of the listed or over-the-counter options, futures or other instruments linked to any one or more of the basket indices.

The hedging activity discussed above may adversely affect the market value of your CDs from time to time and the value of the consideration that we will deliver on your CDs at maturity. See “Risk Factors — Our Affiliate’s Anticipated Hedging Activities May Negatively Impact Investors in the CDs and Cause Our Interests and Those of Our Clients and Counterparties to be Contrary to Those of Investors in the CDs” and “Risk Factors — Trading and Investment Activities for Its Own Account or for Its Clients, Could Negatively Impact Investors in the CDs” in the accompanying disclosure statement for a discussion of these adverse effects.

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THE BASKET INDICES

EURO STOXX 50® Index

The EURO STOXX 50® Index, which we refer to as the EURO STOXX 50 Index, is a capitalization−weighted index of 50 European blue−chip stocks and was created by STOXX Limited. The 50 stocks included in the EURO STOXX 50 Index trade in Euros, and are incorporated in, and have a primary listing (as determined by STOXX Limited) on an exchange in, one of the following countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain, which we refer to collectively as the Eurozone countries. Publication of the EURO STOXX 50 Index began on February 26, 1998, based on an initial index value of 1,000 as of December 31, 1991. The level of the EURO STOXX 50 Index is disseminated on, and additional information about the index is published on, the STOXX Limited website: http://www.stoxx.com.

EURO STOXX 50 Index Composition.

The EURO STOXX 50 Index is composed of 50 index stocks chosen by the index sponsor as market sector leaders from within the 19 EURO STOXX Supersector indices, which represent the Eurozone portion of STOXX Europe 600 Supersector indices. STOXX Limited selects index stocks that have, in its view, a high degree of liquidity and represent the largest companies across all market sectors. The top ten constituent stocks of the EURO STOXX 50 Index as of August 31, 2012, by weight, are: Total (6.10%), Sanofi-Aventis (5.43%), Siemens (4.61%), BASF (3.93%), BCO Santander (3.68%), Bayer (3.53%), Anheuser-Busch InBev (3.44%), SAP AG (3.35%), ENI (3.23%) and Unilever (2.98%); constituent weights may be found at http://www.stoxx.com/download/indices/factsheets/sx5e_fs.pdf under “Factsheets and Methodologies” and are updated periodically.

As of August 31, 2012, the stocks comprising the EURO STOXX 50 Index have Industry Classification Benchmark, which we refer to as the ICB, assignments in the following 17 ICB supersectors, which represent the following weights in the index: banks (13.60%); oil and gas (10.10%); chemicals (9.50%); food and beverage (8.50%); insurance (8.20%); industrial goods and services (7.70%); utilities (7.50%); healthcare (6.50%); telecommunications (6.20%); technology (5.30%); automobiles and parts (5.10); personal and household goods (4.00%); construction and materials (2.80%); retail (2.00%); media (1.40%); real estate (1.00%) and basic resources (0.80%); industry weightings may be found at http://www.stoxx.com/download/indices/factsheets/sx5e_fs.pdf under “Factsheets and Methodologies” and are updated periodically. Percentages may not sum to 100% due to rounding. The ICB categorizes over 70,000 companies and 75,000 securities worldwide into industry groups (10), supersectors (19), sectors (41) and subsectors (114). The ICB system is supported by the ICB Database, which is maintained by FTSE International Limited. Index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of industries and sectors, but are listed in only one industry group and sector and the basis on which that industry group or sector is selected may also differ. As a result, industry and sector comparisons between indices with different index sponsors or that use different classification standards may reflect differences in methodology as well as actual differences in the industry or sector composition of the indices.

As of August 31, 2012, the 9 countries which comprise the EURO STOXX 50 Index represent the following weights in the index: France (36.10%); Germany (32.00%); Spain (11.50%); Italy (7.80%); Netherlands (7.10%); Belgium (3.40%); Luxembourg (0.80%); Ireland (0.70%); and Finland (0.60%); country weightings may be found at http://www.stoxx.com/download/indices/factsheets/sx5e_fs.pdf under “Factsheets and Methodologies” and are updated periodically.

Maintenance of the EURO STOXX 50 Index

The composition of the EURO STOXX 50 Index is reviewed by STOXX Limited annually in September. Within each of the 19 EURO STOXX supersector indices, the respective index component stocks are ranked by free–float market capitalization. The largest stocks are added to the selection list until the coverage is close to, but still less than, 60% of the free–float market capitalization of the corresponding EURO STOXX Total Market Index Supersector index. If the next highest–ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. All remaining stocks that are current EURO STOXX 50 Index components are added to the selection list. The stocks on the selection list

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are then ranked by free–float market capitalization. The 40 largest stocks on the selection list are chosen as index components. Any remaining current components of the Euro STOXX 50® Index ranked between 41 and 60 are added as index components. If the number of index components is still below 50, then the largest stocks on the selection list are added until the EURO STOXX 50 Index contains 50 stocks. In exceptional cases, the STOXX Limited Management Board may make additions and deletions to the selection list.

The component stocks of the EURO STOXX 50 Index are monitored on an ongoing monthly and quarterly basis. Corporate actions (including initial public offerings, mergers and takeovers, spin–offs, delistings and bankruptcy) that affect the EURO STOXX 50 Index composition are immediately reviewed. Any changes are announced, implemented and made effective in line with the type of corporate action and the magnitude of the effect.

Deletion and Replacement of Component Stocks

The component stocks of the EURO STOXX 50 Index are subject to a “fast exit” rule. A component stock is deleted if it ranks 75 or below on the monthly selection list and it has been ranked 75 or below for a consecutive period of two months in the monthly selection list. The highest-ranked non-component stock will replace the existing component stock. The EURO STOXX 50 Index is also subject to a “fast entry” rule. All stocks on the monthly selection lists and initial public offering (IPO) stocks are reviewed for fast-track addition on a quarterly basis. A stock is added if it qualifies for the latest blue chip selection list generated at the end of February, May, August or November and if it ranks within the lower buffer on the selection list. If added, the stock replaces the smallest component stock.

A deleted stock is replaced immediately to maintain the fixed number of stocks. Usually, the replacement is based on the latest monthly selection list. In the case of a merger and acquisition where a component stock is involved, the original component stock is replaced by the new component stock. In the case of a spin-off, if the original stock was a component stock, then each spin-off stock qualifies for addition if it lies within the upper buffer on the selection list. The largest qualifying spin-off stock replaces the original component stock, while the next qualifying spin-off stock replaces the lowest ranked component stock, provided such next qualifying spin-off stock is larger, and likewise for other qualifying spin-off stocks.

The free float factors for each underlier stock that STOXX Limited uses to calculate the Euro STOXX 50 Index, as described below, are reviewed, calculated and implemented on a quarterly basis and are fixed until the next quarterly review (subject to certain exceptions for extraordinary adjustments, which may be implemented and made effective more quickly). Each component’s weight is capped at 10% of the EURO STOXX 50 Index’s total free float market capitalization. The free float factor reduces the underlier stock’s number of shares to the actual amount available on the market. All holdings that are larger than five percent of the total outstanding number of shares and shares held on a long-term basis are excluded from the index calculation (including, but not limited to, stock owned by the company itself, stock owned by government, stock owned by certain individuals or families, and restricted shares).

Index Calculation

STOXX Limited calculates the EURO STOXX 50 Index using the “Laspeyres formula,” which measures the aggregate price changes in the underlier stocks against a fixed base quantity weight. The discussion below describes the “price return” calculation of the EURO STOXX 50 Index. The applicable pricing supplement will describe the calculation of the EURO STOXX 50 Index if the underlier for your notes is not the price return calculation. The formula for calculating the EURO STOXX 50 Index value can be expressed as follows:

Free float market capitalization of the = EURO STOXX 50 Index Index divisor

The “free float market capitalization of the EURO STOXX 50 Index” is equal to the sum of the product of the price, the number of shares, the free float factor and the weighting cap factor for each underlier stock as of the time the EURO STOXX 50 Index is being calculated. The index stocks trade in Euros and thus, no currency conversion is required. Where any index component stock price is unavailable

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on any trading day, the underlier sponsor will generally use the last reported price for such component stock.

EURO STOXX 50 Divisor

The EURO STOXX 50 Index is calculated using a divisor that helps to maintain the continuity of the index’s value so that corporate actions do not artificially increase or decrease the underlier level or the level of the EURO STOXX 50 Index.

The divisor is calculated by starting with the previous divisor in effect for the index (which we call the “original divisor value”) and multiplying it by a fraction, the numerator of which is the sum for all underlier stocks (calculated on an individual stock basis) of the original divisor value for that underlier stock (as described below), plus or minus the difference between the adjusted free float market capitalization of that stock and the original free float market capitalization of that stock, calculated using the values used to calculate the original divisor value, and the denominator of which is that stock’s original divisor value. The adjusted free float market capitalization is calculated for underlier stocks that have experienced a corporate action of the type described below as of the time the new divisor value is being calculated using the free float market capitalization calculated with adjusted closing prices, the new number of shares, and the free float factor minus the free float market capitalization calculated with that stock’s original closing price, number of shares, and free float factor, in each case as used in calculating the original divisor value. The original divisor value is the sum for all underlier stocks (calculated on an individual stock basis using the values at the time the previous calculation of the divisor was made) of the product of (i) the stock price of that underlier stock, times (ii) the number of shares of such underlier stock, times (iii) the free float factor, times (iv) the weighting cap factor. Errors in divisor calculation are corrected on an intraday basis if discovered on the same day the new divisor is published. If the error is discovered later, the error is corrected on an intraday basis if feasible and only if the error is considered significant by the STOXX Management Board.

Divisor Adjustments

STOXX Limited adjusts the divisor for the EURO STOXX 50 Index to maintain the continuity of the EURO STOXX 50 Index values across changes due to corporate actions. The following is a summary of the adjustments to any underlier stock made for corporate actions and the effect of such adjustment on the divisor, where shareholders of the underlier stock will receive “B” number of shares for every “A” share held (where applicable) and assuming that the version of the index to which your notes are linked is the price return version. If your notes are linked to the total return calculation of the EURO STOXX 50, please see the discussion in your pricing supplement regarding divisor adjustments.

(1) Special cash dividend

Adjusted price = closing price – dividend announced by the company * (1-withholding tax if applicable) Divisor: decreases

(2) Split and reverse split:

Adjusted price = closing price * A / B New number of shares = old number of shares * B / A Divisor: no change

(3) Rights offering:

If the subscription price is not available or if the subscription price is equal to or greater than the closing price on the day before the effective date, then no adjustment is made.

Adjusted price = (closing price * A + subscription price * B) / (A + B) New number of shares = old number of shares * (A + B) / A Divisor: increases

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(4) Stock dividend:

Adjusted price = closing price * A / (A + B) New number of shares = old number of shares * (A + B) / A Divisor: no change

(5) Stock dividend :

Stock dividends from treasury stock will be treated as extraordinary dividends. Adjusted close = close – close * B / (A + B)

(6) Stock dividend of another company: Adjusted price = (closing price * A – price of other company * B) / A Divisor: decreases

(7) Return of capital and share consolidation:

Adjusted price = (closing price – capital return announced by company * (1– withholding tax)) * A / B New number of shares = old number of shares * B / A Divisor: decreases

(6) Repurchase of shares / self-tender:

Adjusted price = ((price before tender * old number of shares) – (tender price * number of tendered shares)) / (old number of shares – number of tendered shares) New number of shares = old number of shares – number of tendered shares Divisor: decreases

(7) Spin–off:

Adjusted price = (closing price * A – price of spun–off shares * B) / A Divisor: decreases

(8) Combination stock distribution (dividend or split) and rights offering:

For this corporate action, the following additional assumptions apply:

Shareholders receive B new shares from the distribution and C new shares from the rights offering for every A shares held

If A is not equal to one share, all the following “new number of shares” formulae need to be divided by A:

If rights are applicable after stock distribution (one action applicable to other): Adjusted price = (closing price * A + subscription price * C * (1 + B / A)) / ((A + B) * (1 + C / A)) New number of shares = old number of shares * ((A + B) * (1 + C / A)) / A Divisor: increases

if stock distribution is applicable after rights (one action applicable to other): Adjusted price = (closing price * A + subscription price * C) / ((A + C) * (1 + B / A)) New number of shares = old number of shares * ((A + C) * (1 + B / A)) Divisor: increases

Stock distribution and rights (neither action is applicable to the other): Adjusted price = (closing price * A + subscription price * C) / (A + B + C) New number of shares = old number of shares * (A + B + C) / A Divisor: increases

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License Agreement between STOXX Limited and The Goldman Sachs Group, Inc.

The EURO STOXX 50® Index is the intellectual property of (including registered trademarks) STOXX Limited and/or its licensors (collectively, the “Licensors”). The license agreement between the Licensors and Goldman Sachs International provides that the following language must be set forth in this disclosure statement supplement:

The Licensors have no relationship to The Goldman Sachs Group, Inc. (“GS Group”), other than the licensing of GS Group to use the EURO STOXX 50 Index and the related trademarks for use in connection with the CDs.

The Licensors do not:

• Sponsor, endorse, sell or promote the CDs.

• Recommend that any person invest in the CDs or any other securities.

• Have any responsibility or liability for or make any decisions about the timing, amount or pricing of the CDs.

• Have any responsibility or liability for the administration, management or marketing of the CDs.

• Consider the needs of the CDs or the owners of the CDs in determining, composing or calculating the EURO STOXX 50 Index or have any obligation to do so.

The Licensors will not have any liability in connection with the CDs. Specifically,

• The Licensors do not make any warranty, express or implied and disclaim any and all warranty about:

o The results to be obtained by the CDs, the owner of the CDs or any other person in connection with the use of the EURO STOXX 50 Index and the data included in the EURO STOXX 50 Index;

o The accuracy or completeness of the EURO STOXX 50 Index and its data;

o The merchantability and the fitness for a particular purpose or use of the EURO STOXX 50 Index and its data;

• The Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 50 Index or its data; and

• Under no circumstances will the Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if the Licensors know that they might occur.

The licensing agreement between GS Group and the Licensors is solely for their benefit and not for the benefit of the owners of the CDs or any other third parties.

MSCI Taiwan Index

The MSCI Taiwan Index (which we refer to as the index), is a stock index calculated, published and disseminated daily by MSCI Inc., which we refer to as “MSCI”, through numerous data vendors, on the MSCI website and in real time on Bloomberg Financial Markets and Reuters Limited. Additional information is available on the following website: http://www.msci.com. We are not incorporating by reference the website or any material it includes in this disclosure statement supplement. The index is a free float adjusted market capitalization index and is one of the MSCI Global Investable Market Indices, the methodology of which is described below. The index is an emerging market index that is designed to measure the market performance of equity securities in Taiwan. The constituent stocks of the MSCI Taiwan Index are selected from an eligible universe of stocks listed on the Taiwan Stock Exchange and the GreTai Securities Market. Eligible classes of securities include common shares and preferred shares that exhibit characteristics of equity securities. The index is considered a “standard” index,

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which means it consists of all eligible large capitalization and mid-capitalization stocks, as determined by MSCI, in the relevant market. The index has a base date of December 31, 1987. The end-of day total return net U.S. dollar value for the MSCI Taiwan Index is reported by Bloomberg under the ticker symbol “TAMSCI.”Additional information about the MSCI Global Investable Market Indices is available on the following website: http://www.mscibarra.com/products/indices/international_equity_indices/gimi/. Daily closing price information for the MSCI Indices is available on the following website: http://www.mscibarra.com/products/indices/international_equity_indices/performance.html. As of September 25, 2012, MSCI divides the companies included in the index into eight Global Industry Classification Sectors: Consumer Discretionary (4.10%), Consumer Staples (2.73%), Energy (0.86%), Financials (15.16%), Industrials (3.64%), Information Technology (54.74%), Materials (13.25%) and Telecommunication Services (5.53%). Sector designations are determined by the index sponsor using criteria it has selected or developed. Index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices with different index sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices. Construction of the Index MSCI undertakes an index construction process, which involves: (i) defining the equity universe; (ii) determining the market investable equity universe for each market; (iii) determining market capitalization size segments for each market; (iv) applying index continuity rules; (v) creating style segments within each size segment within each market; and (vi) classifying securities under the Global Industry Classification Standard. Defining the Equity Universe (i) Identifying Eligible Equity Securities: The equity universe initially looks at securities listed in any of the countries in the MSCI global index series, which will be classified as either “developed markets” or “emerging markets”. All listed equity securities, including real estate investment trusts are eligible for inclusion in the equity universe. Conversely, mutual funds, exchange-trade funds, equity derivatives, limited partnerships, and most investment trusts are not eligible for inclusion in the equity universe. (ii) Country Classification of Eligible Securities: Each company and its securities (i.e., share classes) are classified in one and only one country, which allows for a distinctive sorting of each company by its respective country. Determining the Market Investable Equity Universes A market investable equity universe for a market is derived by applying investability screens to individual companies and securities in the equity universe that are classified in that market. A market is generally equivalent to a single country. The global investable equity universe is the aggregation of all market investable equity universes. The investability screens used to determine the investable equity universe in each market are: (i) Equity Universe Minimum Size Requirement: This investability screen is applied at the company level. In order to be included in a market investable equity universe, a company must have the required minimum market capitalization. The equity universe minimum size requirement applies to companies in all markets and is derived as follows:

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• First, the companies in the developed market equity universe are sorted in descending order of full market capitalization and the cumulative coverage of the free float-adjusted market capitalization of the developed market equity universe is calculated for each company. Each company’s free float-adjusted market capitalization is represented by the aggregation of the free float-adjusted market capitalization of the securities of that company in the equity universe. • Second, when the cumulative free float-adjusted market capitalization coverage of 99% of the sorted equity universe is achieved by adding each company’s free float-adjusted market capitalization in descending order, the company that reaches the 99% threshold defines the equity universe minimum size requirement. • The rank of this company by descending order of full market capitalization within the developed market equity universe is noted, and will be used in determining the equity universe minimum size requirement at the next rebalance. As of May 2012, the equity universe minimum size requirement was set at US$130,000,000. Companies with a full market capitalization below this level are not included in any market investable equity universe. The equity universe minimum size requirement is reviewed and, if necessary, revised at each semi-annual index review, described below. (ii) Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have a free float-adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement. (iii) Minimum Liquidity Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have adequate liquidity as measured by its twelve-month and three-month annualized traded value ratio. This measure attempts to screen out extreme daily trading volumes and takes into account the free float-adjusted market capitalization size of securities. In the calculation of a security’s annualized traded value ratio, the trading volumes in depository receipts associated with that security, such as ADRs or GDRs, are also considered. A minimum liquidity level of 15% of the 3-month annualized traded value ratio and 80% of 3-month frequency of trading over the last 4 consecutive quarters, as well as 15% of the 12-month annualized traded value ratio, are required for inclusion of a security in a market investable equity universe of an emerging market. Due to liquidity concerns relating to securities trading at very high stock prices, a security that is currently not a constituent of a MSCI Global Investable Markets Index that is trading at a stock price above US$10,000 will fail the liquidity screening and will not be included in any market investable equity universe. (iv) Global Minimum Foreign Inclusion Factor Requirement: This investability screen is applied at the individual security level. To determine the free float of a security, MSCI considers the proportion of shares of such security available for purchase in the public equity markets by international investors. In practice, limitations on the investment opportunities for international investors include: strategic stakes in a company held by private or public shareholders whose investment objective indicates that the shares held are not likely to be available in the market; limits on the proportion of a security’s share capital authorized for purchase by non-domestic investors; or other foreign investment restrictions which materially limit the ability of foreign investors to freely invest in a particular equity market, sector or security. MSCI will then derive a “foreign inclusion factor” for the company that reflects the proportion of shares outstanding that is available for purchase in the public equity markets by international investors. MSCI will then “float-adjust” the weight of each constituent company in an index by the company’s foreign inclusion factor. Typically, securities with a free float adjustment ratio of less than 0.15 will not be eligible for inclusion in MSCI’s indices. Once the free float factor has been determined for a security, the security’s total market capitalization is then adjusted by such free float factor, resulting in the free float-adjusted market capitalization figure for the security. (v) Minimum Length of Trading Requirement: This investability screen is applied at the individual security level. For an initial public offering to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at least four months before the implementation of the initial construction of the index or at least three months before the implementation of a semi-annual index review. This requirement is applicable to small new issues in all markets. Large initial public offerings are not

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subject to the minimum length of trading requirement and may be included in a market investable equity universe and a standard index, such as the index, outside of a quarterly or semiannual index review. (vi) Minimum Foreign Room Requirement: This investability screen is applied at the individual security level. For a security that is subject to a foreign ownership limit to be eligible for inclusion in a market investable equity universe, the proportion of shares still available to foreign investors relative to the maximum allowed (referred to as “foreign room”) must be at least 15%. Defining Market Capitalization Size Segments for Each Market Once a market investable equity universe is defined, it is segmented into the following size-based indices: • Investable Market Index (Large Cap + Mid Cap + Small Cap) • Standard Index (Large Cap + Mid Cap) • Large Cap Index • Mid Cap Index • Small Cap Index Creating the size segment indices in each market involves the following steps: (i) defining the market coverage target range for each size segment; (ii) determining the global minimum size range for each size segment; (iii) determining the market size segment cutoffs and associated segment number of companies; (iv) assigning companies to the size segments; and (v) applying final size-segment investability requirements. The market coverage for a standard index like the index is 42.5%. As of April 2011, the global minimum size range for an emerging market standard index is a full market capitalization of USD 0.85 billion to USD 1.95 billion. Index Continuity Rules for Standard Indices In order to achieve index continuity, as well as provide some basic level of diversification within a market index, notwithstanding the effect of other index construction rules, a minimum number of three constituents will be maintained for an emerging market standard index, and involves the following steps: • If after the application of the index construction methodology, an emerging market standard index contains fewer than three securities, then the largest securities by free float-adjusted market capitalization are added to the index in order to reach the minimum number of required constituents. • At subsequent index reviews, if the free float-adjusted market capitalization of a non-index constituent is at least 1.50 times the free float-adjusted market capitalization of the smallest existing constituent after rebalancing, the larger free float-adjusted market capitalization security replaces the smaller one. Creating Style Indices within Each Size Segment All securities in the investable equity universe are classified into value or growth segments. The classification of a security into the value or growth segment is used by MSCI to construct additional indices. Classifying Securities under the Global Industry Classification Standard All securities in the global investable equity universe are assigned to the industry that best describes their business activities. The GICS classification of each security is used by MSCI to construct additional indices. Calculation Methodology for the Index

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The performance of the index is a free float weighted average of the U.S. dollar values of its component securities. Prices used to calculate the component securities are the official exchange closing prices or prices accepted as such in the relevant market. In general, all prices are taken from the main stock exchange or exchanges in each market. In the event of a market disruption resulting in any component security price to be unavailable, MSCI will generally use the last reported price for such component security for the purpose of performance calculation. Closing prices are converted into U.S. dollars, as applicable, using the closing exchange rates calculated by WM/Reuters at 4:00 P.M. London Time. The index was launched on December 31, 1989 at an initial value of 100. Maintenance of the Index In order to maintain the representativeness of the MSCI Indices, structural changes to the index as a whole may be made by adding or deleting component securities. Currently, such changes in the index may generally only be made on four dates throughout the year: after the close of the last business day of each February, May, August and November. Each country index is maintained with the objective of reflecting, on a timely basis, the evolution of the underlying equity markets. In maintaining each component country index, emphasis is also placed on its continuity, replicability, consistency and on minimizing turnover. MSCI classifies index maintenance in three broad categories. The first consists of ongoing event related changes, such as mergers and acquisitions, which are generally implemented in the country indices in which they occur. The second category consists of quarterly index reviews, aimed at promptly reflecting other significant market events. The third category consists of semi-annual index reviews that systematically re-assess the various dimensions of the equity universe for all countries simultaneously and are conducted on a fixed semi-annual timetable. Ongoing event-related changes to the country indices are the result of mergers, acquisitions, spin-offs, bankruptcies, reorganizations and other similar corporate events. They can also result from capital reorganizations in the form of rights issues, stock bonus issues, public placements and other similar corporate actions that take place on a continuing basis. MSCI will remove from the index as soon as practicable securities of companies that file for bankruptcy or other protection from their creditors, that are suspended and for which a return to normal business activity and trading is unlikely in the near future, that fail stock exchange listing requirements with a delisting announcement. Securities may also be considered for early deletion in other significant cases, such as decreases in free float and foreign ownership limits, or when a constituent company acquires or merges with a non-constituent company or spins-off another company. In practice, when a constituent company is involved in a corporate event which decreases by more than 33% the company’s full market capitalization or decreases its foreign inclusion factor to below 0.15, the securities of the constituent company are considered for early deletion from the indices simultaneously with the event. Share conversions may also give rise to an early deletion. All changes resulting from corporate events are announced prior to their implementation, provided all necessary information on the event is available. MSCI’s quarterly index review process is designed to ensure that the country indices continue to be an accurate reflection of evolving equity markets. This goal is achieved by timely reflecting significant market driven changes that were not captured in each index at the time of their actual occurrence and that should not wait until the semi-annual index review due to their importance. These quarterly index reviews may result in additions and deletions of component securities from a country index and changes in “foreign inclusion factors” and in number of shares. Additions and deletions to component securities may result from: the addition of large companies that did not meet the minimum size criterion for inclusion at the time of their initial public offering or secondary offering; the replacement of companies which are no longer suitable industry representatives; the deletion of securities whose overall free float has fallen to less than 15% and that do not meet specified criteria; the deletion of securities that have become very small or illiquid; any primary and secondary offerings of less than 5% of the security’s number of shares included in the index; and the addition or deletion of securities as a result of other market events. Significant changes in free float estimates and corresponding changes in the foreign inclusion factor for component securities may result from: large market transactions involving strategic shareholders that are publicly announced; secondary

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offerings that, given lack of sufficient notice, were not reflected immediately; primary and secondary offerings of less than 5% of the company’s outstanding shares; increases in foreign ownership limits; decreases in foreign ownership limits not applied earlier; corrections resulting from the reclassification of shareholders from strategic to non-strategic, and vice versa, and/or updates to the number of shares outstanding; updates to foreign inclusion factors following the public disclosure of new shareholder structures for companies involved in mergers, acquisitions or spin-offs, where different from MSCI’s pro forma free float estimate at the time of the event; large conversions of exchangeable bonds and other similar securities into already existing shares; the end of lock-up periods or expiration of loyalty incentives for non-strategic shareholders; and changes in the foreign inclusion factor as a result of other events of similar nature. Changes in the number of shares are generally small and result from, for example, exercise of options or warrants, conversion of convertible bonds or other instruments or share buybacks. The results of the quarterly index reviews are announced at least two weeks in advance of their effective implementation dates as of the close of the last business day of February and August. MSCI has noted that consistency is a factor in maintaining each component country index. MSCI’s semi-annual index review is designed to systematically reassess the component securities of the index. During each semi-annual index review, the universe of component securities is updated and the global minimum size range for the index is recalculated, which is based on the market capitalization and the cumulative free float-adjusted market capitalization coverage of each security that is eligible to be included in the index. The following index maintenance activities, among others, are undertaken during each semi-annual index review: the component securities are updated by identifying new equity securities that were not part of the index at the time of the previous quarterly index review; the minimum size requirement for the index is updated and new companies are evaluated relative to the new minimum size requirement; existing component securities that do not meet the minimum liquidity requirements of the index may be removed; and changes in “foreign inclusion factors” are implemented. During a semi-annual index review, component securities may be added or deleted from a country index for a range of reasons, including the reasons discussed with respect to component securities changes during quarterly index reviews as discussed above. The results of the semi-annual index reviews are announced at least two weeks in advance of their effective implementation date as of the close of the last business day of May and November. Index maintenance also includes monitoring and completing adjustments for share changes, stock splits, stock dividends, and stock price adjustments due to company restructurings or spin-offs. License Agreement between MSCI Inc. and The Goldman Sachs Group, Inc. The Goldman Sachs Group, Inc. (“GS Group”) will enter into a non-exclusive license agreement with MSCI, in exchange for a fee, whereby GS Group will be permitted to use the index in connection with the offer and sale of Certificates. GS Group is not affiliated with MSCI and the only relationship between MSCI and GS Group is the licensing of the use of the index and trademarks relating to the index. The index is the exclusive property of MSCI. MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain purposes by GS Group. Certificates referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such Certificates. No purchaser, seller or holder of Certificates, or any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote Certificates without first contacting MSCI to determine whether MSCI’s permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without the prior written permission of MSCI. THE CERTIFICATES ARE NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI, ANY AFFILIATE OF MSCI INC. OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE INDEX IS THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI TAIWAN INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY GS GROUP. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF CERTIFICATES OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLY OR IN CERTIFICATES PARTICULARLY OR

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THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE INDEX WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO CERTIFICATES OR THE ISSUER OR OWNER OF CERTIFICATES. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING THE INDEX HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUERS OR OWNERS OF CERTIFICATES INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE INDEX. NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING THE INDEX IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF CERTIFICATES TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH CERTIFICATES ARE REDEEMABLE FOR CASH. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, THE MAKING OR COMPILING THE INDEX HAS ANY OBLIGATION OR LIABILITY TO THE OWNERS OF CERTIFICATES IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF CERTIFICATES. ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING THE INDEX WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING THE INDEX MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY GS, ITS CUSTOMERS OR COUNTERPARTIES, ISSUERS OF CERTIFICATES, OWNERS OF CERTIFICATES OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING THE INDEX SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH THE INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING THE INDEX MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND MSCI, ANY OF ITS AFFILIATES AND ANY OTHER PARTY INVOLVED IN, OR RELATED TO MAKING OR COMPILING ANY MSCI INDEX HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO THE INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL MSCI, ANY OF ITS AFFILIATES OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING THE INDEX HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

S&P/TSX 60 Index

The S&P/TSX 60 Index is a subset of the S&P/TSX Composite Index. The S&P/TSX 60 Index has 60 constituents and represents Canadian large market capitalization securities with a view to matching the sector balance of the S&P/TSX Composite Index. Additional information is available on the following website: http://www.standardandpoors.com/indices/sp-tsx-60/en/us/?indexId=spcadntx--caduf--p-ca-l--. We are not incorporating by reference the website or any material it includes in this disclosure statement supplement.

The S&P/TSX 60 Index and the S&P/TSX Composite Index are maintained by the S&P Canadian Index Committee (the “Index Committee”), which is comprised of four members representing S&P Indices and three members representing the Toronto Stock Exchange (“TSX”). The S&P Canadian Index Committee follows a set of published guidelines for maintaining the S&P/TSX 60 Index and the S&P/TSX Composite Index, which are excerpted and summarized below. All additions and deletions to the S&P/TSX 60 Index are announced to the public via press release and are also available on S&P's website. The top ten constituent stocks of the index as of August 28, 2012, by weight, are: Royal Bank of Canada (7.3979%), Toronto-Dominion Bank (6.9847%), Bank of Nova Scotia (5.7159%), Suncor Energy Inc. (4.6472%), Canadian National Railway Co. (3.7678%), Barrick Gold Corporation (3.5333%), Bank of Montreal

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(3.5276%), Potash Corporation of Saskatchewan Inc. (3.2722%), BCE, Inc. (3.2576%) and Canadian Natural Resources (3.1757%).

As of September 25, 2012, the 60 companies included in the S&P/TSX 60 Index were divided into ten GICS® sectors. The GICS® sectors include (with the percentage such sectors represented in the index indicated in parentheses): Consumer Discretionary (5.00%), Consumer Staples (3.40%), Energy (27.90%), Financials (31.00%), Health Care (1.40%), Industrials (5.50%), Information Technology (0.30%), Materials (18.40%), Telecommunication Services (6.30%) and Utilities (0.80%). Percentages may not sum to 100% due to rounding. Index sponsors may use very different standards for determining industry group or sector designations. In addition, many companies operate in a number of industries and sectors, but are listed in only one industry group and sector and the basis on which that industry group or sector is selected may also differ. As a result, industry and sector comparisons between indices with different index sponsors or that use different classification standards may reflect differences in methodology as well as actual differences in the industry or sector composition of the indices.

Additions to the S&P/TSX 60 Index

• To be eligible for inclusion in the S&P/TSX 60 Index, securities must be constituents of the S&P/TSX Composite. See “— Additions to the S&P/TSX Composite Index” below.

• When adding securities to the S&P/TSX 60 Index, the Index Committee generally selects amongst the larger securities, in terms of float Quoted Market Value, in the S&P/TSX Composite Index. Size may, however, be overridden for purposes of sector balance as described in the fourth bullet point. Quoted market value is the value determined by multiplying the number of float shares of a security by the price for one such float share.

• When adding securities to the S&P/TSX 60 Index, the Index Committee generally selects securities with float turnover of at least 0.35. This is a guideline only and may be changed at the discretion of the Index Committee. In addition, this range may be overridden for purposes of sector balance described in the fourth bullet point.

• Security selection for the S&P/TSX 60 Index is conducted with a view to achieving sector balance that is reflective of the GICS® sector weights in the S&P/TSX Composite Index.

Additions to the S&P/TSX 60 Index are made on an as-needed basis as determined by the Index Committee. Minimum index turnover is preferable. Changes are made to the S&P/TSX 60 Index on an as needed basis. The most common cause of deletion is merger or acquisition of a company. Other common reasons for deletion include bankruptcy, restructuring or other corporate actions. If a company substantially fails to meet one or more of the aforementioned guidelines for inclusion or if a company fails to meet the rules for continued inclusion in the S&P/TSX Composite Index, it will be removed. The timing of removals is at the discretion of the Index Committee.

Additions to the S&P/TSX Composite Index

Additions to the S&P/TSX Composite Index are generally only made as part of the quarterly rebalancing of the index, which occurs in the months of March, June, September and December. The Index Committee may nevertheless choose to review and add a security to the S&P/TSX Composite Index in between quarterly review periods.

• Market Capitalization. To be eligible for inclusion in the S&P/TSX Composite Index, a security must meet the following two criteria:

o Based on the volume weighted average price over the last three trading days of the month-end prior to the quarterly review, the security must represent a minimum weight of 0.05% of the S&P/TSX Composite Index, after including the Quoted Market Value of that security in the total float capitalization of the S&P/TSX Composite Index. In the event that any constituent security of the S&P/TSX Composite index has a weight of more than 10% at any month-end, the minimum weights for the purpose of inclusion will be based on the S&P/TSX Capped Composite Index.

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o The security must have a minimum volume weighted average price of C$1 over the past three months and over the last three trading days of the month-end prior to the quarterly review.

• Liquidity. Liquidity will be measured by float turnover (total number of shares traded at Canadian trading venues in the previous 12 months divided by float adjusted shares outstanding at the end of the period). Liquidity must be 0.50 for eligibility.

• Domicile. Issuers of constituent securities of the S&P/TSX Composite Index must be incorporated, established, in the case of income trusts, or formed, in the case of limited partnerships, under Canadian federal, provincial, or territorial jurisdictions and listed on the TSX.

• Ineligible Securities. Securities issued by mutual fund corporations, preferred shares, exchangeable shares, warrants, installment receipts and other securities deemed inappropriate by the Index Committee, from time to time, are not eligible for inclusion in the S&P/TSX Composite Index. To be included in the eligible securities pool, securities must be listed on the TSX for at least six full calendar months as of the month-end prior to the applicable quarterly review.

• Sufficient Liquidity. Stocks must have sufficient liquidity on the TSX to assure reliable price discovery through trading on the TSX. The S&P/TSX Canada Index Committee may exclude securities if, in the opinion of the Committee, liquidity is not sufficient.

• Shares Outstanding. The shares counted for index calculation are issued and outstanding shares of a security (rounded to the nearest thousand). This count is float-adjusted to reflect only available shares.

o The goal of float adjustment is to distinguish strategic shareholders (whose holdings depend on concerns such as maintaining control rather than the economic fortunes of the company) from those holders whose investments depend on the stock's price and their evaluation of the company's future prospects. S&P defines three groups of shareholders whose holdings are presumed to be for control and which are, therefore, subject to float adjustment. Within each group, the holdings are totaled. In cases where holdings in a group exceed 10% of the outstanding shares of a company, the holdings of that group are excluded from the float-adjusted count of shares used in index calculation. The three groups are:

Holdings by other publicly traded corporations, venture capital firms, private equity firms, strategic partners or leveraged buy-out groups.

Holdings by government entities, including all levels of government in the United States or foreign countries.

Holdings by current or former officers and directors of the company, founders of the company, or family trusts of officers, directors or founders. Second, holdings of trusts, foundations, pension funds, employee stock ownership plans or other investment vehicles associated with and controlled by the company.

Buffer Rules. For quarterly review deletions, certain modified buffer rules with respect to market capitalization and liquidity apply and must be met in order for the security at issue to remain in the S&P/TSX Composite Index.

Sector Classification. Stocks are classified by GICS®. The ten GICS® sectors are Consumer Discretionary, Consumer Staples, Energy, Financials, Health Care, Industrials, Information Technology, Materials, Telecommunications Services and Utilities.

Index Calculation

On any given day, the value of the S&P/TSX 60 Index is the quotient of the total float-adjusted market capitalization of its constituent securities and its divisor. Continuity in S&P/TSX 60 Index values is maintained by adjusting the divisor for all changes in the constituents’ share capital after the base date. This

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includes additions and deletions to the S&P/TSX 60 Index, rights issues, share buy-backs and issuances, and spin-offs. The divisor’s time series is, in effect, a chronological summary of all changes affecting the base capital of the S&P/TSX 60 Index. The divisor is adjusted such that the value of the S&P/TSX 60 Index at an instant just prior to a change in base capital equals the level of the S&P/TSX 60 Index at an instant immediately following that change.

Disruptions due to Exchange Closure

When the TSX is forced to close early due to unforeseen events, such as computer or electric power failures, weather conditions or other events, S&P will calculate the closing levels of the S&P/TSX Composite Index and S&P/TSX 60 Index based on (1) the closing prices published by the exchange, or (2) if no closing price is available, the last regular trade reported for each stock before the exchange closed. If the exchange fails to open due to unforeseen circumstances, the S&P/TSX Composite Index and S&P/TSX 60 Index will use the prior day’s closing prices, or Standard & Poor’s may determine not to publish the indices for that day.

Adjustments for Corporate Actions for the S&P/TSX 60 Index

There are a large range of corporate actions that may affect companies included in the S&P/TSX Composite Index and S&P/TSX 60 Index. Certain corporate actions require S&P to recalculate the share count or the float adjustment or to make an adjustment to the divisor to prevent the value of the index from changing as a result of the corporate action. This helps ensure that the movement of the index does not reflect the corporate actions of individual companies in the index. Several types of corporate actions, and their related adjustments, are listed in the table below.

Corporate Action Share Count Revision

Required? Divisor Adjustment Required? Stock split Yes – share count is revised to

reflect new count No – share count and price changes are off-setting

Change in shares outstanding (secondary issuance, share repurchase and/or share buy-back

Yes – share count is revised to reflect new count

Yes – divisor adjustment reflects change in market capitalization

Spin-off if spun-off company is not being added to the index

No Yes – divisor adjustment reflects decline in index market value (i.e. value of the spun-off unit)

Spin-off if spun-off company is being added to the index and no company is being removed

No No

Spin-off if spun-off company is being added to the index and another company is being removed

No Yes – divisor adjustment reflects deletion

Special dividends No Yes – calculation assumes that share price drops by the amount of the dividend; divisor adjustment reflects this change in

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market value

Change in IWF No Yes – divisor change reflects the change in market value caused by the change to an IWF

Company added to or deleted from the index

No Yes – divisor is adjusted by the net change in market value

Rights Offering No Yes – divisor adjustment reflects increase in market capitalization (calculation assumes that offering is fully subscribed at the set price)

License Information for the S&P/TSX 60 Index

Standard & Poor’s and S&P are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). S&P/TSX 60 Index is a registered trademark of TSX, Inc. The trademarks have been licensed to S&P Dow Jones Indices LLC and have been sublicensed for use for certain purposes by The Goldman Sachs Group, Inc. (“Goldman”). The "S&P/TSX 60 Index" is a product of S&P Dow Jones Indices LLC and TSX, Inc, and has been licensed for use by Goldman. Goldman Sachs Bank USA’s CDs are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, any of their respective affiliates (collectively, “S&P Dow Jones Indices”) or TSX, Inc. Neither S&P Dow Jones Indices nor TSX, Inc. make any representation or warranty, express or implied, to the owners of the CDs or any member of the public regarding the advisability of investing in securities generally or in the CDs particularly or the ability of the S&P/TSX 60 Index to track general market performance. S&P Dow Jones Indices and TSX, Inc.’s only relationship to The Goldman Sachs Group, Inc. with respect to the S&P/TSX 60 Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or TSX, Inc. The S&P/TSX 60 Index is determined, composed and calculated by S&P Dow Jones Indices or TSX, Inc. without regard to Goldman or the CDs. S&P Dow Jones Indices and TSX, Inc. have no obligation to take the needs of Goldman or the owners of the CDs into consideration in determining, composing or calculating the S&P/TSX 60 Index. Neither S&P Dow Jones Indices nor TSX, Inc. are responsible for and have not participated in the determination of the prices, and amount of the CDs or the timing of the issuance or sale of the CDs or in the determination or calculation of the equation by which the CDs are to be converted into cash. S&P Dow Jones Indices and TSX, Inc. have no obligation or liability in connection with the administration, marketing or trading of the CDs. There is no assurance that investment products based on the S&P/TSX 60 Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.

NEITHER S&P DOW JONES INDICES NOR TSX, INC. GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P/TSX 60 INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES AND TSX, INC. SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES AND TSX, INC. MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY GOLDMAN, OWNERS OF THE CDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P/TSX 60 INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES OR TSX, INC. BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR

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OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND GOLDMAN, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

The Dow Jones Industrial AverageSM

The Dow Jones Industrial Average SM is a price-weighted index composed of 30 common stocks selected at the discretion of an Averages Committee comprised of the Managing Editor of The Wall Street Journal (the “WSJ”), the head of Dow Jones Indexes research and the head of CME Group research. Additional information is available on the following website: http://www.djaverages.com/. We are not incorporating by reference the website or any material it includes in this disclosure statement supplement.

The Dow Jones Industrial AverageSM, which we refer to as the DJIA, is a price-weighted index composed of 30 common stocks selected at the discretion of an Averages Committee comprised of the Managing Editor of The Wall Street Journal (the “WSJ”), the head of Dow Jones Indexes research and the head of CME Group research. The Averages Committee was created in March 2010, when Dow Jones Indexes became part of CME Group Index Services, LLC, a joint venture company owned 90% by CME Group Inc. and 10% by Dow Jones & Company, Inc, which we refer to as Dow Jones. Dow Jones publishes The Wall Street Journal. . In June 2012, Dow Jones and the McGraw-Hill Companies, Inc, the owner of the S&P Indices business, formed a joint venture company called S&P Dow Jones Indices, owned 73 % by McGraw-Hill Companies, Inc., and 27% by Dow Jones, that owns both the S&P Indices business and the Dow Jones Indexes business. The Averages Committee selects the index components as the largest and leading stocks of the sectors that are representative of the U.S. equity market. The index does not include producers of goods and services in the transportation and utilities industries. The DJIA is reported by Bloomberg under the ticker symbol “INDU <Index>”. Dow Jones is under no obligation to continue to publish the DJIA and may discontinue publication of the DJIA at any time.

There are no pre-determined criteria for selection of a component stock except that component

companies represented by the DJIA should be established U.S. companies that are leaders in their industries. The DJIA serves as a measure of the entire U.S. market, including such sectors as financial services, technology, retail, entertainment and consumer goods and is not limited to traditionally defined industrial stocks. Changes in the composition of the DJIA are made by the Averages Committee without consultation with the component companies represented in the DJIA, any stock exchange, any official agency or us. In order to maintain continuity, changes to the index stocks included in the DJIA tend to be made infrequently and generally occur only after a component company goes through a major change, such as a shift in its main line of business, acquisition by another company, or bankruptcy. Index reviews do not occur on any established or regular schedule, but only when corporate events with respect to a constituent stock require it. When one component stock is replaced, the entire index is reviewed. As a result, multiple component changes are often implemented simultaneously. The component stocks of the DJIA may be changed at any time for any reason. Where any index component stock price is unavailable on any trading day, the index sponsor will generally use the last reported price for such component stock.

Sector designations are determined by the index sponsor, or by the sponsor of the classification

system, using criteria it has selected or developed. Index and classification system sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices with different sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices.

The DJIA is price weighted rather than market capitalization weighted. Therefore, the component stock

weightings are affected only by changes in the stocks’ prices, in contrast with the weightings of other indices that are affected by both price changes and changes in the number of shares outstanding. The value of the DJIA is the sum of the primary exchange prices of each of the 30 common stocks included in the DJIA, divided by a divisor. The divisor is changed in accordance with a mathematical formula to adjust for stock dividends, stock splits, spin-offs and other corporate actions. The current divisor of the DJIA is published daily in the WSJ and other publications. As of January 31, 2012, the divisor was 0.132129493. While this

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methodology reflects current practice in calculating the DJIA, no assurance can be given that Dow Jones will not modify or change this methodology in a manner that may affect the return on your notes.

The current formula used to calculate divisor adjustments is as follows: the new divisor (i.e., the divisor

on the next trading session) is equal to (1) the divisor on the current trading session, times (2) the quotient of (a) the sum of the adjusted (for stock dividends, splits, spin-offs and other applicable corporate actions) closing prices of the DJIA components on the current trading session and (b) the sum of the unadjusted closing prices of the DJIA components on the current trading session.

New Divisor = Current Divisor

x Adjusted Sum of Prices

Unadjusted Sum of Prices License Agreement between DJIA and The Goldman Sachs Group, Inc.

S&P is a registered trademark of Standard & Poor’s Financial Services LLC (“S&P”) and Dow Jones®, DJIA®, The Dow® and Dow Jones Industrial Average are trademarks of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to S&P Dow Jones Indices LLC and its affiliates and have been sublicensed for use for certain purposes by The Goldman Sachs Group, Inc. (“Goldman”). The Dow Jones Industrial Average is a product of S&P Dow Jones Indices LLC and/or its affiliates, and has been licensed for use by Goldman. The CDs are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices LLC, Dow Jones, S&P, or any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the CDs or any member of the public regarding the advisability of investing in securities generally or in the CDs particularly or the ability of the Dow Jones Industrial Average to track general market performance. S&P Dow Jones Indices’ only relationship to Goldman with respect to the Dow Jones Industrial Average is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its third party licensors. The Dow Jones Industrial Average is determined, composed and calculated by S&P Dow Jones Indices without regard to Goldman or the CDs. S&P Dow Jones Indices have no obligation to take the needs of Goldman or the owners of the CDs into consideration in determining, composing or calculating the Dow Jones Industrial Average. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of the CDs or the timing of the issuance or sale of the CDs or in the determination or calculation of the equation by which the CDs are to be converted into cash. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of the CDs. There is no assurance that investment products based on the Dow Jones Industrial Average will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice. Notwithstanding the foregoing, CME Group Inc., an affiliate of S&P Dow Jones Indices LLC, and its affiliates may independently issue and/or sponsor financial products unrelated to the CDs currently being issued by Goldman, but which may be similar to and competitive with the CDs. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the Dow Jones Industrial Average. It is possible that this trading activity will affect the value of the Dow Jones Industrial Average and the CDs.

S&P DOW JONES INDICES DO NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE DOW JONES INDUSTRIAL AVERAGE OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY GOLDMAN, OWNERS OF THE CDS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DOW JONES INDUSTRIAL AVERAGE OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING

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LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND GOLDMAN OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

Historical Quarterly High, Low and Closing Levels of the Basket Indices

The respective closing levels of the basket indices have fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing level of any of the basket indices during any period shown below is not an indication that the basket indices are more or less likely to increase or decrease at any time during the life of your CDs.

You should not take the historical closing levels of the basket indices or the historical basket levels as an indication of the future performances of the basket indices or the basket. We cannot give you any assurance that the future performance of the basket indices or the index stocks will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. In light of the increased volatility currently being experienced by U.S. and global securities markets and recent market declines, the trend reflected in the historical performance of the basket indices may be less likely to be indicative of the performance of the basket indices during the period from the trade date to the final averaging date and of the final basket level than would otherwise have been the case.

Neither we nor any of our affiliates make any representation to you as to the performance of the basket indices. Before investing in the offered CDs, you should consult publicly available information to determine the relevant index levels of the basket indices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the basket indices over the life of the offered CDs, as well as the payment amount at maturity, may bear little relation to the historical levels shown below.

The tables below shows the high, low and final closing levels of the EURO STOXX 50® Index, the MSCI Taiwan Index, the S&P/TSX 60 Index and the Dow Jones Industrial AverageSM for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters in 2012 (through September 25, 2012). We obtained the levels listed in the tables below from Bloomberg Financial Services, without independent verification.

Historical Quarterly High, Low and Closing Levels of the EURO STOXX 50® Index

High Low Close 2009 Quarter ended March 31 ........................................................................... 2,578.43 1,809.98 2,071.13 Quarter ended June 30 ............................................................................. 2,537.35 2,097.57 2,401.69 Quarter ended September 30 ................................................................... 2,899.12 2,281.47 2,872.63 Quarter ended December 31 .................................................................... 2,992.08 2,712.30 2,964.96 2010 Quarter ended March 31 ........................................................................... 3,017.85 2,631.64 2,931.16 Quarter ended June 30 ............................................................................. 3,012.65 2,488.50 2,573.32 Quarter ended September 30 ................................................................. 2,827.27 2,507.83 2,747.90 Quarter ended December 31 ................................................................... 2,890.64 2,650.99 2,792.82 2011 Quarter ended March 31 ........................................................................... 3,068.00 2,721.24 2,910.91 Quarter ended June 30 ............................................................................. 3,011.25 2,715.88 2,848.53 Quarter ended September 30 ................................................................... 2,875.67 1,995.01 2,179.66 Quarter ended December 31 .................................................................... 2,476.92 2,090.25 2,316.55 2012 Quarter ended March 31 ........................................................................... 2,608.42 2,286.45 2,477.28 Quarter ended June 30 ............................................................................. 2,501.18 2,068.66 2,157.62 Quarter ending September 30 (through September 25, 2012) ................. 2,594.56 2,151.54 2,568.48

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Historical Quarterly High, Low and Closing Levels of the MSCI Taiwan Index

High Low Close 2009 Quarter ended March 31 ........................................................................... 200.70 159.21 194.03 Quarter ended June 30 ............................................................................. 255.02 197.04 234.51 Quarter ended September 30 ................................................................... 275.52 238.84 275.19 Quarter ended December 31 .................................................................... 295.94 265.80 295.94 2010 Quarter ended March 31 ........................................................................... 302.07 262.34 282.58 Quarter ended June 30 ............................................................................. 291.97 250.91 259.09 Quarter ended September 30 ................................................................. 291.63 255.81 291.42 Quarter ended December 31 ................................................................... 319.19 283.06 319.19 2011 Quarter ended March 31 ........................................................................... 328.04 293.09 308.25 Quarter ended June 30 ............................................................................. 321.89 293.09 308.25 Quarter ended September 30 ................................................................... 310.96 243.87 256.91 Quarter ended December 31 .................................................................... 270.34 238.11 254.27 2012 Quarter ended March 31 ........................................................................... 289.06 250.00 283.74 Quarter ended June 30 ............................................................................. 281.12 245.27 254.98 Quarter ending September 30 (through September 25, 2012) ................. 277.18 245.68 274.88

Historical Quarterly High, Low and Closing Levels of the S&P/TSX 60

High Low Close 2009 Quarter ended March 31 ........................................................................... 571.36 458.13 528.68 Quarter ended June 30 ............................................................................. 650.83 537.18 630.06 Quarter ended September 30 ................................................................... 695.58 585.15 680.75 Quarter ended December 31 .................................................................... 701.36 641.54 693.23 2010 Quarter ended March 31 ........................................................................... 710.08 648.53 706.81 Quarter ended June 30 ............................................................................. 720.19 660.08 662.05 Quarter ended September 30 ................................................................. 716.14 650.08 715.07 Quarter ended December 31 ................................................................... 768.65 712.89 768.65 2011 Quarter ended March 31 ........................................................................... 819.25 757.61 809.16 Quarter ended June 30 ............................................................................. 817.65 734.93 763.90 Quarter ended September 30 ................................................................... 769.28 653.30 667.08 Quarter ended December 31 .................................................................... 714.46 642.34 680.87 2012 Quarter ended March 31 ........................................................................... 725.21 693.72 706.96 Quarter ended June 30 ............................................................................. 714.73 640.57 655.03 Quarter ending September 30 (through September 25, 2012) ................. 716.07 652.98 700.42

Historical Quarterly High, Low and Closing Levels of the Dow Jones Industrial AverageSM

High Low Close 2009 Quarter ended March 31 ........................................................................... 9,034.69 6,547.05 7,608.92 Quarter ended June 30 ............................................................................. 8,799.26 7,761.60 8,447.00 Quarter ended September 30 ................................................................... 9,829.87 8,146.52 9,712.28 Quarter ended December 31 .................................................................... 10,548.51 9,487.67 10,428.05 2010 Quarter ended March 31 ........................................................................... 10,907.42 9,908.39 10,856.63 Quarter ended June 30 ............................................................................. 11,205.03 9,774.02 9,774.02 Quarter ended September 30 ................................................................. 10,860.26 9,686.48 10,788.05 Quarter ended December 31 ................................................................... 11,585.38 10,751.27 11,577.51 2011 Quarter ended March 31 ........................................................................... 12,391.25 11,613.30 12,319.73 Quarter ended June 30 ............................................................................. 12,810.54 11,897.27 12,414.34

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High Low Close Quarter ended September 30 ................................................................... 12,724.41 10,719.94 10,913.38 Quarter ended December 31 .................................................................... 12,294.00 10,655.30 12,217.56 2012 Quarter ended March 31 ........................................................................... 13,252.76 12,359.92 13,212.04 Quarter ended June 30 ............................................................................. 13,279.32 12,101.46 12,880.09 Quarter ending September 30 (through September 25, 2012) ................. 13,596.93 12,573.27 13,457.55

Historical Basket Levels

The following graph is based on the basket closing level for the period from January 1, 2008 through September 25, 2012. We derived the basket closing levels based on the method to calculate the basket closing level as described in this disclosure statement supplement and on actual closing levels of the relevant basket indices on the relevant dates. The basket closing level has been normalized such that its hypothetical level on January 1, 2008 is represented as 100. As noted in this disclosure statement supplement, the initial basket level will be set at 100 on the trade date. The basket closing level can increase or decrease due to changes in the levels of the basket indices. The table is for illustrative purposes only. The historical basket levels may bear little relation to the basket closing levels of your CDs.

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SUPPLEMENTAL DISCUSSION OF UNITED STATES FEDERAL INCOME TAX CONSEQUENCES

United States Internal Revenue Service Circular 230 Notice: To ensure compliance with requirements imposed by the IRS, you are hereby notified that: (a) any U.S. tax advice contained or referred to in this offering circular or any document referred to herein is not intended or written to be used, and cannot be used by you for the purpose of avoiding penalties that may be imposed on you under the U.S. Internal Revenue Code; (b) any such tax advice is written for use in connection

with the promotion or marketing of the transactions or matters addressed herein; and (c) you should seek advice based on your particular circumstances from an independent tax advisor.

This section supplements the discussion of U.S. federal income taxation in the accompanying disclosure statement and is subject to the limitations and exceptions set forth therein.

This section is the opinion of Sidley Austin LLP, counsel to Goldman Sachs Bank USA. In addition, it is the opinion of Sidley Austin LLP, counsel to Goldman Sachs Bank USA, that the characterization of the CDs for U.S. federal income tax purposes discussed below is a reasonable interpretation of current law.

This section is based on the U.S. Internal Revenue Code of 1986, as amended, its legislative history, existing and proposed regulations under the Internal Revenue Code, published rulings and court decisions, all as currently in effect. These laws are subject to change, possibly on a retroactive basis.

You should consult your tax advisor concerning the U.S. federal income tax, and other tax consequences of your investment in the CDs, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws.

United States Holders

The discussion herein describes the tax consequences to a United States holder (as defined under “United States Taxation” in the accompanying disclosure statement).

Tax classification of your CDs

Your CDs will be treated as debt instruments subject to special rules governing contingent payment instruments for U.S. federal income tax purposes. Under those rules, and subject to the discussion below regarding fixed but deferred contingent payments, if you are a U.S. individual or taxable entity, you generally will be required to accrue interest on a current basis in respect of the CDs over their term based on the comparable yield for the CDs and pay tax accordingly, even though you will not receive any payments from us until maturity. This comparable yield is determined solely to calculate the amount on which you will be taxed prior to maturity and is neither a prediction nor a guarantee of what the actual yield will be. In addition, any gain you may recognize on the sale or maturity of the CDs would be taxed as ordinary interest income and any loss you may recognize on the sale or maturity of the CDs would generally be ordinary loss to the extent of the interest you previously included as income in respect of the CDs and thereafter would be capital loss. If you are a noncorporate holder, you would generally be able to use such ordinary loss to offset your income only in the taxable year in which you recognize the ordinary loss and would generally not be able to carry such ordinary loss forward or back to offset income in other taxable years.

We have determined that the comparable yield for the CDs is equal to 2.05% per annum, compounded semi-annually with a projected payment at maturity of $1,153.61 based on an investment of $1,000.

Based on this comparable yield, if you are an initial holder that holds a CD until maturity and you pay your taxes on a calendar year basis, we have determined that you would be required to report the following amounts as ordinary income, not taking into account any positive or negative adjustments you may be required to take into account based on the actual payments on the CDs, from the CD each year:

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Accrual Period

Interest Deemed to Accrue During Accrual Period

(per $1,000 CD)

Total Interest Deemed to Have Accrued from Original Issue Date (per $1,000 CD) as of End of Accrual Period

September 28, 2012 through December 31, 2012 $5.24 $5.24 January 1, 2013 through December 31, 2013 $20.72 $25.96 January 1, 2014 through December 31, 2014 $21.14 $47.10 January 1, 2015 through December 31, 2015 $21.58 $68.68 January 1, 2016 through December 31, 2016 $22.02 $90.70 January 1, 2017 through December 31, 2017 $22.48 $113.18 January 1, 2018 through December 31, 2018 $22.94 $136.12

January 1, 2019 through September 30, 2019 $17.49 $153.61

The comparable yield and projected payment are not provided to you for any purpose other than the determination of your interest accruals in respect of your CDs, and we make no representation regarding the amount of the contingent payment with respect to your CDs.

If you purchase your CDs for an amount that differs from the adjusted issue price of the CDs (as

defined under “United States Taxation — United States Holders — Indexed and Other Certificates of Deposit” in the accompanying disclosure statement), you may be subject to special tax rules as described in “United States Taxation—United States Holders—Indexed and Other Certificates of Deposit” in the accompanying disclosure statement. These rules are complex and therefore individuals are urged to consult their tax advisors regarding these rules.

For a further discussion of the tax treatment of your CDs, please see the discussion under the heading “United States Taxation—United States Holders—Indexed and Other Certificates of Deposit” in the accompanying disclosure statement.

Fixed but Deferred Contingent Payments

Notwithstanding the rules described above, if on a date that is more than six months prior to the CDs’ maturity, the CDs guarantee a payment in excess of the projected amount payable at maturity under the projected payment schedule, the Internal Revenue Service could take the position that you must make a current positive adjustment and increase your interest inclusion, based on the minimum amount that you are guaranteed to receive at maturity. The amount of any positive adjustments you may be required to make pursuant to the rules described above would increase the adjusted issue price and your adjusted basis in your notes.

United States Alien Holders

If you are a United States alien holder (as defined under “United States Taxation” in the accompanying disclosure statement), please see the discussion under “United States Taxation — United States Alien Holders” in the accompanying disclosure statement for a description of the tax consequences relevant to you.

In addition, the Treasury Department has issued proposed regulations under which all or a portion of any amount that you receive upon the maturity of the CDs or upon a sale of your CDs after December 31, 2012 could be treated as a “dividend equivalent” payment that is subject to tax at a rate of 30% (or a lower rate under an applicable treaty), which in the case of amounts paid at maturity, would be collected via withholding. While significant aspects of the application of these regulations to the CDs are uncertain, we may be required to withhold such taxes upon the maturity of the CDs if any extraordinary dividends are paid on any of the U.S. stocks that comprise the basket indices during the term of the CDs and such extraordinary dividend triggers an adjustment of the level of any of the basket indices, or if, as a consequence of the trade date falling between a dividend announcement date and ex-dividend date of any of the U.S. stocks that comprise the basket indices, a portion of any payment on your CDs reflects an

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amount determined by reference to a dividend. We could also require you to make certifications prior to maturity of the CDs in order to avoid or minimize withholding obligations, and we could withhold accordingly (subject to your potential right to claim a refund from the IRS) if such certifications were not received or were not satisfactory. If withholding is required, we will not be required to pay any additional amounts with respect to amounts so withheld. You should consult your tax advisor concerning the potential application of these regulations to payments you receive on the CDs when these regulations are finalized and regarding any other possible alternative characterizations of your CDs for U.S. federal income tax purposes.

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SUPPLEMENTAL PLAN OF DISTRIBUTION

The CDs may be distributed through dealers who may receive a fee up to 3.50% of the aggregate face amount of the CDs being sold as a result of the services of the dealers. Please note that the information about the issue date and original issue price set forth on the cover of this disclosure statement supplement relate only to the initial distribution.

This disclosure statement may be used by Goldman, Sachs & Co. in connection with offers and sales of the CDs in market-making transactions. In a market-making transaction, Goldman, Sachs & Co. may resell CDs it acquires from other holders, after the original offering and sale of the CDs. Resales of this kind may occur in the open market or may be privately negotiated, at prevailing market prices at the time of resale or at related or negotiated prices. For more information about the plan of distribution and possible market-making activities, see “Plan of Distribution” on page 56 of the accompanying disclosure statement.

We have not authorized anyone to provide any information or to make any representations other than those contained in this disclosure statement supplement and the accompanying disclosure statement. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give you. This disclosure statement supplement and the accompanying disclosure statement is an offer to sell only the CDs offered hereby, but only under the circumstances and in jurisdictions where it is lawful to do so. The information contained in this disclosure statement supplement and the accompanying disclosure statement is current only as of the respective dates of such documents.

TABLE OF CONTENTS Disclosure Statement Supplement

Page Summary Information ............................................................................ S-3 Q&A ....................................................................................................... S-5 Truth in Savings Disclosures ................................................................. S-9 Additional Risk Factors Specific to Your Certificates of Deposit ........... S-11 Specific Terms of Your Certificates of Deposit ..................................... S-19 Hypothetical Examples ........................................................................ S-26 Use of Proceeds .................................................................................. S-32 Hedging ............................................................................................... S-32 The Basket Indices .............................................................................. S-33 Supplemental Discussion of United States Federal Income Tax

Consequences ............................................................................... S-53 Supplemental Plan of Distribution ........................................................ S-56

Disclosure Statement dated December 19, 2011 Available Information ................................................................................ 3 Notice to Investors .................................................................................... 3 Goldman Sachs Bank USA ....................................................................... 3 The Goldman Sachs Group, Inc. ............................................................. 4 Supervision and Regulation ...................................................................... 4 Status of Certificate of Deposit ................................................................. 5 Use of Proceeds ..................................................................................... 12 Risk Factors ........................................................................................... 13 Description of Certificates of Deposit We May Offer ............................... 19 Legal Ownership and Payment ............................................................... 38 United States Taxation ........................................................................... 41 Employee Retirement Income Security Act ............................................. 55 Plan of Distribution ................................................................................. 56

Conflicts of interest ............................................................................ 57 Annex ..................................................................................................... 58

$2,465,000

Goldman Sachs Bank USA

Equity Index-Linked Certificates of Deposit due 2019

(Linked to an Equally Weighted Basket of Indices)

Certificates of Deposit

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